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Conditional heteroskedasticity driven by hidden Markov chains

Authors: Francq, Christian ; Roussignol, Michel ; Zakoian, Jean-Michel
Institutions: Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
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Series:
Sonderforschungsbereich 373.
Type of publication: Book / Working Paper
Source:
RePEc - Research Papers in Economics
Persistent link: https://www.econbiz.de/10005795131
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