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Interaction models for common long-range dependence in asset price volatilities
Teyssière, Gilles - 2003
Persistent link: https://www.econbiz.de/10001791287
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Non linear ARX-models : probabilistic properties and consistent recursive estimation
Doukhan, Paul - 1992
Persistent link: https://www.econbiz.de/10000852961
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Change-point detection in GARCH models : asymptotic and bootstrap tests
Kokoszka, Piotr; Teyssière, Gilles - 2002
Persistent link: https://www.econbiz.de/10001732866
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Microeconomic models for long-memory in the volatility of financial time series
Kirman, Alan P.; Teyssière, Gilles - 2002
Persistent link: https://www.econbiz.de/10001720507
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On the power of R/S-type tests under contiguous and semi long memory alternatives
Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus; … - 2002
Persistent link: https://www.econbiz.de/10001720510
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Bubbles and long-range dependence in asset prices volatilities
Kirman, Alan P.; Teyssière, Gilles - 2002
Persistent link: https://www.econbiz.de/10001720525