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Incorporation of Exogenous Variable in Long Memory Model: An ARFIMAX-GARCH Framework
Incorporation of Exogenous Variable in Long Memory Model: An ARFIMAX-GARCH Framework
2020
Krishna Pada Sarkar
K.N. Singh
Achal Lama
Bishal Gurung
Keywords:
Econometrics
Autoregressive fractionally integrated moving average
Computer science
Autoregressive conditional heteroskedasticity
long memory
Correction
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