On the autocorrelation properties of Long Memory Garch Processes
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- Menelaos Karanasos & Zacharias Psaradakis & Martin Sola, 2004. "On the Autocorrelation Properties of Long-Memory GARCH Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(2), pages 265-282, March.
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KeywordsAutocorrelation function; Fractionally integrated GARCH process; Long-memory GARCH process.;
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