Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2010
hyperbolic decay rates associated with fractionally integrated (or long memory) time series models, but it can nevertheless … used to approximate long memory properties in daily exchange rates and international tourist arrivals, to test whether … alternative short and long run estimates of conditional volatility are sensitive to the approximate long memory in the conditional …