A Long Memory Model with Normal Mixture GARCH

Yin-Wong Cheung and Sang-Kuck Chung ()

Computational Economics, 2011, vol. 38, issue 4, 517-539

Keywords: Long memory; Normal mixture; Inflation rate; Conditional heteroskedasticity (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/s10614-011-9274-y

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