Author:
Ibragimov Rustam,Lentzas George
Reference40 articles.
1. Representation (49) implies that the joint distribution of Y t and Y t?h is normal with the correlation coefficient ? h and, thus, the copula of the r.v.'s X t and X t?;where ? t has a normal distribution: ? t ? N (0, 1 ? ? 2 )
2. Long memory processes and fractional integration in econometrics;R T Baillie;Journal of Econometrics,1996
3. ARCHIMEDEAN COPULAS AND TEMPORAL DEPENDENCE
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