A semiparametric two-step estimator in a multivariate long memory model
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 90 (1999)
Issue (Month): 1 (May)
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Web page: http://www.elsevier.com/locate/jeconom
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- Ghysels, E. & Harvey, A. & Renault, E., 1996.
Cahiers de recherche
9613, Universite de Montreal, Departement de sciences economiques.
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- Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- GHYSELS, Eric & HARVEY, Andrew & RENAULT, Eric, 1995. "Stochastic Volatility," CORE Discussion Papers 1995069, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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- Bollerslev, Tim & Ole Mikkelsen, Hans, 1996.
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- Tom Doan, . "RATS program to replicate Bollerslev-Mikkelson(1996) FIEGARCH models," Statistical Software Components RTZ00173, Boston College Department of Economics.
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