Long memory in stock index futures markets: A value-at-risk approach
Year of publication: |
2006
|
---|---|
Authors: | Tang, Ta-Lun ; Shieh, Shwu-Jane |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 366.2006, C, p. 437-448
|
Publisher: |
Elsevier |
Subject: | FIGARCH | Value-at-risk | Kupiec LR test | HYGARCH |
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