Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model
Author:
Publisher
Wiley
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1002/jae.685/fullpdf
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4. 2002. Parametric and nonparametric volatility measurement. In Handbook of Financial Econometrics, (eds). North-Holland: Amsterdam; (forthcoming).
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