A note on the relationship between GARCH and symmetric stable processes
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Empirical Finance.
Volume (Year): 2 (1995)
Issue (Month): 3 (September)
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Web page: http://www.elsevier.com/locate/jempfin
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Open Access publications from Universidad Carlos III de Madrid
info:hdl:10016/4919, Universidad Carlos III de Madrid.
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CORE Discussion Papers
2006112, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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- J. Huston McCulloch & Prasad V. Bidarkota, 2002. "Signal Extraction Can Generate Volatility Clusters From IID Shocks," Working Papers 02-04, Ohio State University, Department of Economics.
- Broussard, John Paul, 2001. "Extreme-value and margin setting with and without price limits," The Quarterly Review of Economics and Finance, Elsevier, vol. 41(3), pages 365-385.
- Prasad Bidarkota & J. Huston McCulloch, 2003. "News or Noise? Signal Extraction Can Generate Volatility Clusters From IID Shocks," Working Papers 0304, Florida International University, Department of Economics.
- J. Huston McCulloch & Prasad V. Bidarkota, 2003. "Signal Extraction can Generate Volatility Clusters," Computing in Economics and Finance 2003 59, Society for Computational Economics.
- Mittnik, Stefan & Paolella, Marc S. & Rachev, Svetlozar T., 2000. "Diagnosing and treating the fat tails in financial returns data," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 389-416, November.
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