FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS

FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS

da Silva, Afonso Gonçalves, Robinson, Peter M.
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Volume:
24
Language:
english
Journal:
Econometric Theory
DOI:
10.1017/s0266466608080481
Date:
October, 2008
File:
PDF, 412 KB
english, 2008
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