Optimal approximations of power laws with exponentials: application to volatility models with long memory
Author:
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/14697680701278291
Reference22 articles.
1. Fractionally integrated generalized autoregressive conditional heteroskedasticity
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3. ARCH modeling in finance
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