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A multiple regime extension to the Heston-Nandi GARCH(1,1) model
Díaz-Hernández, Adán, Constantinou, NickJournal:
Journal of Empirical Finance
DOI:
10.1016/j.jempfin.2019.05.004
Date:
June, 2019
File:
PDF, 1.04 MB
2019