Long-memory dynamics in a SETAR model : applications to stock markets
Year of publication: |
2005
|
---|---|
Authors: | Dufrénot, Gilles ; Guégan, Dominique ; Péguin-Feissolle, Anne |
Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 15.2005, 5, p. 391-406
|
Subject: | Aktienindex | Stock index | Volatilität | Volatility | Frankreich | France | ARMA-Modell | ARMA model | 1997-2003 |
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