Journal
REVIEW OF ECONOMICS AND STATISTICS
Volume 86, Issue 1, Pages 378-390Publisher
MIT PRESS
DOI: 10.1162/003465304323023886
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We give the theoretical basis of a possible explanation for two stylized facts observed in long log-return series: the long-range dependence (LRD) in volatility and the integrated GARCH (IGARCH). Both these effects can be explained theoretically if one assumes that the data are nonstationary.
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