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Author: Donatas Surgailis
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Liudas Giraitis, Remigijus Leipus, Peter M Robinson and Donatas Surgailis
We consider the long memory and leverage properties of a model for the conditional variance of an observable stationary sequence, where the conditional variance is the square of an inhomogeneous linear combination of pas...Read more...
Liudas Giraitis, Peter M Robinson and Donatas Surgailis