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Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems and the Co-persistence Analysis of Stock Market Realized Volatilities

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https://hal-univ-paris10.archives-ouvertes.fr/hal-01410660
Contributor : Administrateur Hal Nanterre <>
Submitted on : Tuesday, December 6, 2016 - 5:18:31 PM
Last modification on : Tuesday, November 19, 2019 - 9:30:57 AM

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  • HAL Id : hal-01410660, version 1

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Marcel Aloy, Gilles de Truchis. Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems and the Co-persistence Analysis of Stock Market Realized Volatilities. Computational Economics, Springer Verlag, 2015. ⟨hal-01410660⟩

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