Doubly fractional models for dynamic heteroscedastic cycles
Year of publication: |
2012
|
---|---|
Authors: | Artiach, Miguel ; Arteche, Josu |
Published in: |
Computational Statistics & Data Analysis. - Elsevier, ISSN 0167-9473. - Vol. 56.2012, 6, p. 2139-2158
|
Publisher: |
Elsevier |
Subject: | Stochastic volatility | Cycles | Long memory | QML estimation | Sunspot index |
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