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Stylized facts of daily return series and the hidden Markov model
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  • 2011Markov Switching Models in Empirical Finance109 cited
  • 2007Forecasting volatility and volume in the Tokyo Stock Market: Long memory, fractality and regime switching

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101 cited
  • 2005How can we Define the Concept of Long Memory? An Econometric Survey101 cited
  • 2008Time-varying beta risk of Pan-European industry portfolios: A comparison of alternative modeling techniques98 cited