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Modelling squared returns using a SETAR model with long-memory dynamics
Gilles Dufrenot, Dominique Guegan, Anne Peguin-FeissolleVolume:
86
Year:
2005
Language:
english
Pages:
244
DOI:
10.1016/j.econlet.2004.07.014
File:
PDF, 93 KB
english, 2005