Long-memory in high-frequency exchange rate volatility under temporal aggregation
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Publication:3502187
DOI10.1080/14697680601150699zbMath1134.91563OpenAlexW2030460477MaRDI QIDQ3502187
Alan E. H. Speight, David G. McMillan
Publication date: 22 May 2008
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680601150699
Economic time series analysis (91B84) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Statistical methods; economic indices and measures (91B82)
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