Replication Data for "Weak Identification of Long Memory with Implications for Volatility Modeling"

Name: Replication Data for "Weak Identification of Long Memory with Implications for Volatility Modeling"
Creator: Macquarie University
Published: 2024-01-01T00:00:00+08:00

Harvard Dataverse2024-11-01 更新2026-04-09 收录

金融波动率建模

时间序列长期记忆性

数据链接：

https://dataverse.harvard.edu/citation?persistentId=doi:10.7910/DVN/LZNM8D 数据链接链接失效反馈

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资源简介：

This data and MATLAB code package reproduce the empirical results from the paper titled 'Weak Identification of Long Memory with Implications for Volatility Modeling' by Jia Li, Peter C. B. Phillips, Shuping Shi, and Jun Yu. The ReadMe.txt file contains further details about the data and code.

提供机构：

Macquarie University

创建时间：

2024-01-01

Replication Data for "Weak Identification of Long Memory with Implications for Volatility Modeling"

资源简介：

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