Long Memory of Financial Time Series and Hidden Markov Models with Time‐Varying Parameters
Peter Nystrup,
Henrik Madsen and
Erik Lindström
Journal of Forecasting, 2017, vol. 36, issue 8, 989-1002
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:wly:jforec:v:36:y:2017:i:8:p:989-1002
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