Long Memory and FIGARCH Models for Daily and High Frequency Commodity Prices
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Keywords
Commodity returns; Futures markets; Long memory; FIGARCH;All these keywords.
JEL classification:
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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