The autocorrelation structure for the GARCH-M process
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Publication:806915
DOI10.1016/0165-1765(91)90120-AzbMath0729.62630MaRDI QIDQ806915
Publication date: 1991
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0165-1765(91)90120-a
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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