Memory and infrequent breaks
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 70 (2001)
Issue (Month): 1 (January)
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- Joann Jasiak, 1996. "Persistence in Intertrade Durations," Working Papers 1999_8, York University, Department of Economics, revised Mar 1999.
- Francis X. Diebold & Glenn D. Rudebusch, 1988.
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- Granger, Clive W. J. & Terasvirta, Timo, 1999.
"A simple nonlinear time series model with misleading linear properties,"
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- Granger, Clive W.J. & Teräsvirta, Timo, 1998. "A simple nonlinear time series model with misleading linear properties," Working Paper Series in Economics and Finance 237, Stockholm School of Economics.
- Cioczek-Georges, R. & Mandelbrot, B. B., 1995. "A class of micropulses and antipersistent fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 60(1), pages 1-18, November.
- Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June.
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