Structural GARCH: The Volatility-Leverage Connection

Review of Financial Studies 2018 / 02 Vol. 31; Iss. 2

Structural GARCH: The Volatility-Leverage Connection

Engle, Robert F., Siriwardane, Emil N.
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Volume:
31
Language:
english
Journal:
The Review of Financial Studies
DOI:
10.1093/rfs/hhx099
Date:
February, 2018
File:
PDF, 968 KB
english, 2018
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