𝔖 Bobbio Scriptorium
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A simple nonlinear time series model with misleading linear properties

✍ Scribed by Clive W.J. Granger; Timo Teräsvirta


Book ID
117333391
Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
127 KB
Volume
62
Category
Article
ISSN
0165-1765

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Nonlinear time series with long memory:
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We introduce a nonlinear model of stochastic volatility within the class of "product type" models. It allows different degrees of dependence for the "raw" series and for the "squared" series, for instance implying weak dependence in the former and long memory in the latter. We discuss its main stati