Long memory or shifting means? A new approach and application to realised volatility
Year of publication: |
2008-01-29
|
---|---|
Authors: | Mendes, Eduardo ; Oxley, Les ; Rea, William ; Reale, Marco |
Institutions: | Department of Economics and Finance, College of Business and Economics |
Subject: | Long-range dependence | Strong dependence | Global dependence | Hurst phenomena |
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