Long memory models for daily and high frequency commodity futures returns
Version of Record online: 31 MAY 2007
© 2007 Wiley Periodicals, Inc.
Journal of Futures Markets
Volume 27, Issue 7, pages 643–668, July 2007
How to Cite
Baillie, R. T., Han, Y.-W., Myers, R. J. and Song, J. (2007), Long memory models for daily and high frequency commodity futures returns. J. Fut. Mark., 27: 643–668. doi: 10.1002/fut.20267
- Issue online: 31 MAY 2007
- Version of Record online: 31 MAY 2007
- Manuscript Accepted: JUN 2006
- Manuscript Received: APR 2005
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