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Moments of the ARMA-EGARCH model

Karanasos, M and Kim, J

Moments of the ARMA-EGARCH model J5085 2003 - 2003 - 146-166 V. 06 Issue. 01

Subjects--Topical Terms:
Econometrics

Subjects--Index Terms: Autocorrelations;Exponential GARCH;Stock returns;

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