Long memory and FIGARCH models for daily and high frequency commodity prices
Year of publication: |
2007
|
---|---|
Authors: | Baillie, Richard T. ; Han, Young-Wook ; Myers, Robert J. ; Song, Jeongseok |
Publisher: |
London : Queen Mary University of London, Department of Economics |
Subject: | Rohstoff-Futures | Volatilität | ARCH-Modell | Kapitalertrag | Commodity returns, Futures markets, Long memory, FIGARCH |
Series: | Working Paper ; 594 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 574531602 [GVK] hdl:10419/62859 [Handle] |
Classification: | C4 - Econometric and Statistical Methods: Special Topics ; C22 - Time-Series Models |
Source: |
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