Long memory models for daily and high frequency commodity futures returns
Year of publication: |
2007
|
---|---|
Authors: | Baillie, Richard ; Han, Young Wook ; Myers, Robert J. ; Song, Jeongseok |
Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 27.2007, 7, p. 643-668
|
Subject: | Rohstoffderivat | Commodity derivative | Volatilität | Volatility | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | 1980-2001 |
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