Exact maximum likelihood estimation of ARCH models
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Bibliographic InfoPaper provided by Federal Reserve Bank of Philadelphia in its series Working Papers with number 93-4.
Date of creation: 1993
Date of revision:
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- Francis X. Diebold & Jose A. Lopez, 1995. "Measuring Volatility Dynamics," NBER Technical Working Papers 0173, National Bureau of Economic Research, Inc.
- Stefan Mittnik & Marc Paolella & Svetlozar Rachev, 1998. "Unconditional and Conditional Distributional Models for the Nikkei Index," Asia-Pacific Financial Markets, Springer, vol. 5(2), pages 99-128, May.
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