A Modified GARCH Model with Spells of Shocks
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Volume (Year): 12 (2005)
Issue (Month): 1 (March)
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- Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
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