A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones
| Year of publication: |
2006
|
|---|---|
| Authors: | Engle, Robert F. ; Marcucci, Juri |
| Published in: |
Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 132.2006, 1, p. 7-42
|
| Publisher: |
Elsevier |