Periodic Long-Memory GARCH Models
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- Massimiliano Caporin & Francesco Lisi, 2010. "Misspecification tests for periodic long memory GARCH models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 19(1), pages 47-62, March.
More about this item
KeywordsGARCH models; Intra-day volatility; Long-memory; Periodicity;
StatisticsAccess and download statistics
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