Heterogeneous expectations and long-range correlation of the volatility of asset returns
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Author / Producer
Date
2011
Publication Type
Journal Article
ETH Bibliography
yes
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Publication status
published
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Book title
Journal / series
Volume
11 (9)
Pages / Article No.
1329 - 1356
Publisher
Routledge
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Edition / version
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Software
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Date created
Subject
Realized volatility; Aggregation model; Long memory; Bounded rationality
Organisational unit
Notes
Received 11 August 2008, Available online 1 September 2011.