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Financial econometrics - A new discipline with new methods

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Author Info
Engle, Robert

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 100 (2001)
Issue (Month): 1 (January)
Pages: 53-56
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Handle: RePEc:eee:econom:v:100:y:2001:i:1:p:53-56

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Web page: http://www.elsevier.com/locate/jeconom

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  1. Kenedy Alva & Juan Romo & Esther Ruiz, 2009. "Modelling intra-daily volatility by functional data analysis: an empirical application to the spanish stock market," Statistics and Econometrics Working Papers ws092809, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
  2. Philip Hans Franses & Michael McAleer, 2002. "Financial volatility: an introduction," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 419-424. [Downloadable!]
  3. Feng, Yuanhua, 2006. "A local dynamic conditional correlation model," MPRA Paper 1592, University Library of Munich, Germany. [Downloadable!]
  4. Elena Andreou & Eric Ghysels, 2003. "Test for Breaks in the Conditional Co-Movements of Asset Returns," University of Cyprus Working Papers in Economics 3-2003, University of Cyprus Department of Economics. [Downloadable!]
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  5. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2001. "Outliers And Conditional Autoregressive Heteroscedasticity In Time Series," Statistics and Econometrics Working Papers ws010704, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
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