A model for long memory conditional heteroscedasticity.
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Publication:1872488
DOI10.1214/aoap/1019487516zbMath1084.62516OpenAlexW2033640179MaRDI QIDQ1872488
Peter M. Robinson, Liudas Giraitis, Donatas Surgailis
Publication date: 6 May 2003
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aoap/1019487516
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Brownian motion (60J65)
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