Bivariate error correction FIGARCH and FIAPARCH models on the Australian All Ordinaries Index and its SPI futures
Year of publication: |
2004-03
|
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Authors: | Dark, Jonathan |
Institutions: | Department of Econometrics and Business Statistics, Monash Business School |
Subject: | long memory | univariate and bivariate FIGARCH and FIAPARCH | asymmetries in volatility |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 4/04 47 pages |
Classification: | G0 - Financial Economics. General ; C3 - Econometric Methods: Multiple/Simultaneous Equation Models ; C51 - Model Construction and Estimation |
Source: |
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