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Long memory and changing persistence
Kruse, Robinson; Sibbertsen, Philipp - In: Economics letters 114 (2012) 3, pp. 268-272
Persistent link: https://www.econbiz.de/10009550790
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A modified test against spurious long memory
Kruse, Robinson - In: Economics letters 135 (2015), pp. 34-38
Persistent link: https://www.econbiz.de/10011434828
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The functional central limit theorem for the multivariate MS-ARMA-GARCH model
Lee, Oesook; Lee, Jungwha - In: Economics letters 125 (2014) 3, pp. 331-335
Persistent link: https://www.econbiz.de/10010506097
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The functional central limit theorem for ARMA-GARCH processes
Lee, Oesook - In: Economics letters 121 (2013) 3, pp. 432-435
Persistent link: https://www.econbiz.de/10010392236
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Stationarity and functional central limit theorem for ARCH (∞) models
Lee, Oesook - In: Economics letters 162 (2018), pp. 107-111
Persistent link: https://www.econbiz.de/10011939788