Long memory or shifting means? A new approach and application to realised volatility
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KeywordsLong-range dependence; Strong dependence; Global dependence; Hurst phenomena;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-04-29 (All new papers)
- NEP-ECM-2008-04-29 (Econometrics)
- NEP-ETS-2008-04-29 (Econometric Time Series)
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