Modelling squared returns using a SETAR model with long-memory dynamics
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- Dufrenot, Gilles & Guegan, Dominique & Peguin-Feissolle, Anne, 2005. "Modelling squared returns using a SETAR model with long-memory dynamics," Economics Letters, Elsevier, vol. 86(2), pages 237-243, February.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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"Detection of the Industrial Business Cycle using SETAR Models,"
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More about this item
KeywordsStock indices; FARIMA models; SETAR; Long-memory;
StatisticsAccess and download statistics
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