Exact maximum likelihood estimation of ARCH models
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- Stefan Mittnik & Marc Paolella & Svetlozar Rachev, 1998. "Unconditional and Conditional Distributional Models for the Nikkei Index," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 5(2), pages 99-128, May.
- Francis X. Diebold & Jose A. Lopez, 1995. "Measuring Volatility Dynamics," NBER Technical Working Papers 0173, National Bureau of Economic Research, Inc.
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KeywordsEconometrics ; Time-series analysis;
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