Small Sample Properties of GARCH Estimates and Persistence
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- Soosung Hwang & Pedro L. Valls Pereira, 2006. "Small sample properties of GARCH estimates and persistence," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 473-494.
References listed on IDEAS
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-01-12 (All new papers)
- NEP-ECM-2003-01-12 (Econometrics)
- NEP-ETS-2003-01-12 (Econometric Time Series)
- NEP-RMG-2003-01-12 (Risk Management)
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