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Econometrics Paper
Modelling Nonlinearity and Long Memory in Time Series - (Now published in 'Nonlinear Dynamics and Time Series', C D Cutler and D T Kaplan (eds), Fields Institute Communications, 11 (1997), pp.61-170.) Peter M Robinson and Paolo Zaffaroni January 1997
Paper No' EM/1997/319:
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Tags: long memory; arch; nonlinear moving average. jel no.: c22