IDENTIFYING NONLINEAR SERIAL DEPENDENCE IN VOLATILE, HIGH-FREQUENCY TIME SERIES AND ITS IMPLICATIONS FOR VOLATILITY MODELING

Publisher： Cambridge University Press

E-ISSN： 1469-8056|14|S1|88-110

ISSN： 1365-1005

Source： Macroeconomic Dynamics, Vol.14, Iss.S1, 2010-05, pp. : 88-110

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