A long memory property of stock market returns and a new model

Author:

Ding Zhuanxin,Granger Clive W.J.,Engle Robert F.

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference30 articles.

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3. Variance function estimation;Davidian;Journal of American Statistical Association,1987

4. Eatwell, J., M. Milgate and P. Newman(eds.), The new palgrave: Finance (New York, Norton).

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