Microeconomic models for long-memory in the volatility of financial time series
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- Kirman Alan & Teyssière Gilles, 2002. "Microeconomic Models for Long Memory in the Volatility of Financial Time Series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 5(4), pages 1-23, January.
- Alan P. Kirman, Gilles Teyssiere, 2001. "Microeconomic Models for Long-Memory in the Volatility of Financial Time Series," Computing in Economics and Finance 2001 221, Society for Computational Economics.
- Gilles Teyssière & Alan Kirman, 2001. "Microeconomic Models for Long-Memory in the Volatility of Financial Time Series," CeNDEF Workshop Papers, January 2001 5A.4, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- KIRMAN, Alan & TEYSSIÈRE, Gilles, 2002. "Microeconomic models for long memory in the volatility of financial time series," LIDAM Reprints CORE 1593, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
References listed on IDEAS
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More about this item
Keywords
long-memory; microeconomic models; field effects; semiparametric tests; conditional heteroskedasticity;All these keywords.
JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- D40 - Microeconomics - - Market Structure, Pricing, and Design - - - General
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