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Modelling structural breaks, long memory and stock market volatility: an overview

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  • Banerjee, Anindya
  • Urga, Giovanni

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  • Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.
  • Handle: RePEc:eee:econom:v:129:y:2005:i:1-2:p:1-34
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