Structural attribution of observed volatility clustering
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- Allan Timmermann, 1998.
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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.
- Antonio Cabrales & Takeo Hoshi, 1993.
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- Cabrales, Antonio & Hoshi, Takeo, 1996. "Heterogeneous beliefs, wealth accumulation, and asset price dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 20(6-7), pages 1073-1100.
- Brock, William A & LeBaron, Blake D, 1996.
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- William A. Brock & Blake D. LeBaron, 1995. "A Dynamic Structural Model for Stock Return Volatility and Trading Volume," NBER Working Papers 4988, National Bureau of Economic Research, Inc.
- de Fontnouvelle, Patrick, 2000. "Information Dynamics In Financial Markets," Macroeconomic Dynamics, Cambridge University Press, vol. 4(02), pages 139-169, June.
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