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This paper proposes a long-memory model including multiple cycles in addition to the long-run component. Specifically, instead of a single pole or singularity in the spectrum, it allows for multiple poles and thus different cycles with different degrees of persistence. It also incorporates...
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particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous … ; volatility …
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. -- high frequency data ; long memory ; volatility persistence ; structural breaks …
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