Fractionally integrated generalized autoregressive conditional heteroskedasticity
Year of publication: |
1996
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Authors: | Baillie, Richard T. ; Bollerslev, Tim ; Mikkelsen, Hans Ole |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 1848616. - Vol. 74.1996, 1, p. 3-30
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