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Testing for neglected nonlinearity in long memory models

Baillie, Richard T. and Kapetanios, George

Testing for neglected nonlinearity in long memory models J7992 2007 - 2007 - 447-461 V. 25 Issue. 4

Subjects--Topical Terms:
Economic Statistics

Subjects--Index Terms: Absolute return;Artificial neural network;Long memory;Nonlinearity;Real exchange rate;Realized volatility;

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