Nonlinear long memory models with applications in finance
The last decade has witnessed a great deal of research in modelling volatility of financial asset returns, expressed by time-varying variances and covariances. The importance of modelling volatility lies in the dependence of any financial investment decision on the expected risk and return as formal...
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London School of Economics and Political Science (University of London)
1997
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.267306 |