The impulse response function of the long memory GARCH process
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- repec:spr:qualqt:v:51:y:2017:i:3:d:10.1007_s11135-016-0341-2 is not listed on IDEAS
- Claudio Morana, 2014. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks," Working Papers 273, University of Milano-Bicocca, Department of Economics, revised May 2014.
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"Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study,"
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- repec:gam:jsusta:v:10:y:2018:i:7:p:2386-:d:157026 is not listed on IDEAS
- Neil Kellard & Denise Osborn & Jerry Coakley & Christian Conrad & Menelaos Karanasos, 2015. "On the Transmission of Memory in Garch-in-Mean Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(5), pages 706-720, September.
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