A semiparametric GARCH model for foreign exchange volatility
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- Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993.
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- Duan, Jin-Chuan, 1997. "Augmented GARCH (p,q) process and its diffusion limit," Journal of Econometrics, Elsevier, vol. 79(1), pages 97-127, July.
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- Carroll, Raymond J. & H rdle, Wolfgang & Mammen, Enno, 2002. "Estimation In An Additive Model When The Components Are Linked Parametrically," Econometric Theory, Cambridge University Press, vol. 18(04), pages 886-912, August.
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