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Long Memory, Realized Volatility and Heterogeneous Autoregressive Models
Baillie, Richard T., (2019)
A Multivariate Generalized ARCH Approach to Modeling Risk Premia in Forward Foreign Exchange Markets
Bollerslev, T., (1990)
Do asymmetric and nonlinear adjustments explain the forward premium anomaly?
Baillie, Richard T., (2005)