Generalised long-memory GARCH models for intra-daily volatility

Silvano Bordignon, Massimiliano Caporin, Francesco Lisi. Generalised long-memory GARCH models for intra-daily volatility. Computational Statistics & Data Analysis, 51(12):5900-5912, 2007. [doi]

Authors

Silvano Bordignon

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Massimiliano Caporin

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Francesco Lisi

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