FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS
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Publication:3632416
DOI10.1017/S0266466608080481zbMath1284.62556MaRDI QIDQ3632416
Afonso Gonçalves da Silva, Peter M. Robinson
Publication date: 11 June 2009
Published in: Econometric Theory (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Stochastic models in economics (91B70)
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