Temporal aggregation of ARCH processes and the distribution of asset returns
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- Richard Harmon, 1988. "The simultaneous equations model with generalized autoregressive conditional heteroskedasticity: the SEM-GRACH model," International Finance Discussion Papers 322, Board of Governors of the Federal Reserve System (U.S.).
- Bekaert, Geert, 1996.
"The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective,"
Review of Financial Studies,
Society for Financial Studies, vol. 9(2), pages 427-470.
- Geert Bekaert, 1994. "The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective," NBER Working Papers 4818, National Bureau of Economic Research, Inc.
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KeywordsEconomics ; Time-series analysis;
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