Inference on the long-memory properties of time series with non-stationary volatility (Q1668281)
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scientific article; zbMATH DE number 6930657
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Inference on the long-memory properties of time series with non-stationary volatility |
scientific article; zbMATH DE number 6930657 |
Statements
Inference on the long-memory properties of time series with non-stationary volatility (English)
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3 September 2018
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time-varying variance
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heteroskedasticity
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persistence
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fractional integration
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modulated process
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0.9227868
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0.9055557
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0.89425707
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0.89286757
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0.89159656
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0.88980174
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