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Non linear GARCH models for highly persistent volatility

Lanne, Markku and Saikkonen, Pentti

Non linear GARCH models for highly persistent volatility J5710 2005 - 2005 - 251-276 V. 08 Issue. 2

Subjects--Topical Terms:
Econometrics

Subjects--Index Terms: Non linearity;GARCH;Stationarity;Markov Chain;

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