A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
Year of publication: |
2007-04
|
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Authors: | McAller, Michael ; Medeiros, Marcelo C. |
Institutions: | Departamento de Economia, Pontifícia Universidade Católica do Rio de Janeiro |
Subject: | Realized volatility | smooth transition | heterogeneous autoregression | financial econometrics | leverage | sign and size asymmetries | forecasting | risk management | model combination |
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