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Nonparametric statistics
Fabrizio Cipollini
;
Robert F. Engle
;
Giampiero M. Gallo
SEMIPARAMETRIC VECTOR MEM (replication data)
Financial time series are often non-negative-valued (volumes, trades, durations, realized volatility, daily range) and exhibit clustering. When joint dynamics is of interest,...
DOI:10.15456/jae.2022321.0712116341
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