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NTIS 바로가기응용통계연구 = The Korean journal of applied statistics, v.27 no.2, 2014년, pp.291 - 305
이영선 (한국외국어대학교 통계학과) , 이태욱 (한국외국어대학교 통계학과)
Persistence is one of the typical characteristics appearing in the volatility of financial time series. According to the recent researches, the volatility persistence may be due to either volatility shifts or long-range dependence. In this paper, we consider residual-based CUSUM tests to distinguish...
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