Analytic Hessian Matrices and the Computation of FIGARCH Estimates
Year of publication: |
2002-02-11
|
---|---|
Authors: | Lombardi, Marco J. ; Gallo, Giampiero M. |
Institutions: | Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", Università degli Studi di Firenze |
Subject: | Long Memory | Volatility Modelling | FIGARCH Processes |
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