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发表于 2025-4-1 05:53:52
J. P. Kleiweg De Zwaananger (2005), and Perron and Qu (2007) argue that the high persistence close to unit root and long memory both in the first and the second moments may actually be caused by structural changes in the level or slope of an otherwise locally stationary process of the long-run volatility. Diebold and Ino