Modelling exchange rates volatility with multivariate long-memory ARCH processes
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More about this item
Keywordsheteroskedasticity; Long-memory processes; multivariate long-memory ARCH models; multivariate FIGARCH models;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G00 - Financial Economics - - General - - - General
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