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Rescaled variance and related tests for long memory in volatility and levels

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Author Info
Giraitis, Liudas
Kokoszka, Piotr
Leipus, Remigijus
Teyssiere, Gilles
Abstract

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 112 (2003)
Issue (Month): 2 (February)
Pages: 265-294
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:eee:econom:v:112:y:2003:i:2:p:265-294

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Web page: http://www.elsevier.com/locate/jeconom

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  1. Xiao, Zhijie & Lima, Luiz Renato Regis de Oliveira, 2006. "Testing Covariance Stationarity," Economics Working Papers (Ensaios Economicos da EPGE) 632, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
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  2. Ata Assaf, 2004. "Rescaled variance analysis of real exchange rates," Applied Economics Letters, Taylor and Francis Journals, vol. 11(5), pages 303-306, April. [Downloadable!] (restricted)
  3. Francis W. Ahking, 2004. "Non-Parametric Tests of Real Exchange rates in the Post-Bretton Woods Era," Working papers 2004-05, University of Connecticut, Department of Economics. [Downloadable!]
  4. Anthony Murphy & Marwan Izzeldin, 2006. "Bootstrapping long memory tests: some Monte Carlo results," Working Papers 003091, Lancaster University Management School, Economics Department. [Downloadable!]
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This page was last updated on 2009-11-13.


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