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Robust modelling of DTARCH models

Hui, Yer Van and Jiang, Jiancheng

Robust modelling of DTARCH models J5710 2005 - 2005 - 143-158 V. 08 Issue. 2

Subjects--Topical Terms:
Econometrics

Subjects--Index Terms: Conditional heteroskedasticity;Double threshold;Median regression;Model diagnostic checking;Robust portmanteau statistic;

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