Long memory and Periodicity in Intraday Volatility
Year of publication: |
2012-11
|
---|---|
Authors: | Rossi, Eduardo ; Fanatazzini, Dean Fantazzini |
Institutions: | Dipartimento di Scienze Economiche e Aziendali, Università degli Studi di Pavia |
Subject: | Intraday volatility | Long memory | FI-PEGARCH | SFI-PEGARCH | Periodicmodels |
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