A powerful test for conditional heteroscedasticity for financial time series with highly persistent volatilities
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Cited by:
- Broto, Carmen & Ruiz, Esther, 2006.
"Unobserved component models with asymmetric conditional variances,"
Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2146-2166, May.
- Broto, Carmen & Ruiz Ortega, Esther, 2003. "Unobserved component models with asymmetric conditional variances," DES - Working Papers. Statistics and Econometrics. WS ws032003, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2003-12-07 (Econometrics)
- NEP-ETS-2003-12-07 (Econometric Time Series)
- NEP-FIN-2003-12-07 (Finance)
- NEP-RMG-2003-12-07 (Risk Management)
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