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Double Long-Memory Financial Time Series

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  • G. Teyssière

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  • G. Teyssière, 1996. "Double Long-Memory Financial Time Series," Working Papers 348, Queen Mary University of London, School of Economics and Finance.
    • Handle: RePEc:qmw:qmwecw:348
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    File URL: https://www.qmul.ac.uk
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    Cited by:

    1. TEYSSIERE, Gilles, 2003. "Interaction models for common long-range dependence in asset price volatilities," LIDAM Discussion Papers CORE 2003026, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    2. Brunetti, Celso & Gilbert, Christopher L., 2000. "Bivariate FIGARCH and fractional cointegration," Journal of Empirical Finance, Elsevier, vol. 7(5), pages 509-530, December.
    3. Teyssière, Gilles, 1999. "Modelling exchange rates volatility with multivariate long-memory ARCH processes," SFB 373 Discussion Papers 1999,5, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

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