Long Memory and Fractional Integration in High Frequency Financial Time Series
Year of publication: |
2010
|
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Authors: | Caporale, Guglielmo Maria ; Gil-Alana, Luis A. |
Institutions: | DIW Berlin (Deutsches Institut für Wirtschaftsforschung) |
Subject: | High frequency data | long memory | volatility persistence | structural breaks |
Extent: | application/pdf |
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Series: | Discussion Papers of DIW Berlin. - ISSN 1619-4535. |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 1016 25 pages long |
Classification: | C22 - Time-Series Models |
Source: |
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