Open AccessTime-Varying Fractionally Integrated Processes with Nonstationary Long Memory
Author(s) -
Anne Philippe,
Донатас Сургайлис,
MarieClaude Viano
Publication year - 2007
Publication title -
teoriâ veroâtnostej i ee primeneniâ
Language(s) - English
Resource type - Journals
eISSN - 2305-3151
pISSN - 0040-361X
DOI - 10.4213/tvp1533
Subject(s) - long memory , computer science , econometrics , economics , volatility (finance)