Long Memory and FIGARCH Models for Daily and High Frequency Commodity Prices
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References listed on IDEAS
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More about this item
KeywordsCommodity returns; Futures markets; Long memory; FIGARCH;
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- 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-2007-04-09 (All new papers)
- NEP-ECM-2007-04-09 (Econometrics)
- NEP-ETS-2007-04-09 (Econometric Time Series)
- NEP-MST-2007-04-09 (Market Microstructure)
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