On the efficiency of a semi‐parametric GARCH model
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Publication:3018505
DOI10.1111/j.1368-423X.2010.00337.xzbMath1217.91206MaRDI QIDQ3018505
Jianing Di, Ashis K. Gangopadhyay
Publication date: 27 July 2011
Published in: The Econometrics Journal (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)
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