George Lentzas

Morgan Stanley

1585 Broadway

New York, NY 10036

United States

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Copulas and Long Memory

Harvard Institute of Economic Research Discussion Paper No. 2160
Number of pages: 53 Posted: 30 Jul 2008
Rustam Ibragimov and George Lentzas
Harvard University - Department of Economics and Morgan Stanley
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Abstract:

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long-memory processes, copulas, measures of dependence, autocorrelations, persistence, volatility, GARCH