A multiple regime extension to the Heston-Nandi GARCH(1,1)...

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A multiple regime extension to the Heston-Nandi GARCH(1,1) model

Díaz-Hernández, Adán, Constantinou, Nick
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Journal:
Journal of Empirical Finance
DOI:
10.1016/j.jempfin.2019.05.004
Date:
June, 2019
File:
PDF, 1.04 MB
2019
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