MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
Year of publication: |
2009
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Authors: | Medeiros, Marcelo C. ; Veiga, Alvaro |
Published in: |
Econometric theory. - Cambridge : Cambridge Univ. Press, ISSN 0266-4666, ZDB-ID 9016612. - Vol. 25.2009, 1, p. 117-161
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