The paper looks at whether the time series of realized volatility can be better described by a model with structural breaks or one with long run dependence
Structural change and long run dependence in volatility of exchange rates: either, neither or both?
BELTRATTI, ANDREA;
2004
Abstract
The paper looks at whether the time series of realized volatility can be better described by a model with structural breaks or one with long run dependenceFile in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.