Nonstationarities in financial time series, the long-range dependence, and the IGARCH effects
Year of publication: |
2004
|
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Authors: | Mikosch, Thomas ; Starica, Catalin |
Published in: |
The review of economics and statistics. - Cambridge, Mass. : MIT Press, ISSN 0034-6535, ZDB-ID 207962-8. - Vol. 86.2004, 1, p. 378-390
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Subject: | Aktienindex | Stock index | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Theorie | Theory | USA | United States | 1953-1990 |
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