Capturing volatility persistence: a dynamically complete...

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Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model

Borup, Daniel, Jakobsen, Johan S.
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Language:
english
Journal:
Quantitative Finance
DOI:
10.1080/14697688.2019.1614653
Date:
June, 2019
File:
PDF, 1.18 MB
english, 2019
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