MODELLING LONG MEMORY VOLATILITY IN AGRICULTURAL COMMODITY FUTURES RETURNS
Year of publication: |
2012
|
---|---|
Authors: | CHANG, CHIA-LIN ; McALEER, MICHAEL ; TANSUCHAT, ROENGCHAI |
Published in: |
Annals of Financial Economics (AFE). - World Scientific Publishing Co. Pte. Ltd., ISSN 2010-4960. - Vol. 07.2012, 02, p. 1250010-1
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Long memory | agricultural commodity futures | fractional integration | asymmetric | conditional volatility |
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