A powerful test for conditional heteroscedasticity for financial time series with highly persistent volatilities
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- Broto, Carmen & Ruiz, Esther, 2006.
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More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-12-07 (All new papers)
- 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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