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Long Memory, Realized Volatility and Heterogeneous Autoregressive Models
Baillie, Richard T., Calonaci, Fabio, Cho, Dooyeon, Rho, SeunghwaLanguage:
english
Journal:
Journal of Time Series Analysis
DOI:
10.1111/jtsa.12470
Date:
April, 2019
File:
PDF, 205 KB
english, 2019