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A note on the relationship between GARCH and symmetric stable processes

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Author Info
Groenendijk, Patrick A.
Lucas, Andre
de Vries, Casper G.

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File URL: http://www.sciencedirect.com/science/article/B6VFG-3YCDPFH-4/2/06646b4c5f48d2b642b5392f98834bb2
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Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 2 (1995)
Issue (Month): 3 (September)
Pages: 253-264
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Handle: RePEc:eee:empfin:v:2:y:1995:i:3:p:253-264

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  1. J. Huston McCulloch & Prasad V. Bidarkota, 2003. "Signal Extraction can Generate Volatility Clusters," Computing in Economics and Finance 2003 59, Society for Computational Economics. [Downloadable!]
  2. 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. [Downloadable!]
  3. GARCIA, RenŽ & RENAULT, Eric & VEREDAS, David, 2006. "Estimation of stable distributions by indirect inference," CORE Discussion Papers 2006112, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
  4. 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. [Downloadable!]
  5. Emma M. Iglesias & Oliver Linton, 2009. "Estimation of tail thickness parameters from GJR-GARCH models," Economics Working Papers we094726, Universidad Carlos III, Departamento de Economía. [Downloadable!]
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