Non-stationarities in financial time series, the long range dependence and the IGARCH effects
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KeywordsSample ACF; Garch process; long range dependence; IGARCH; non- stationarities; time-varying unconditional variance;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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