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Structurally-induced volatility clustering

by Clive W. J. Granger and Mark J. Machina
Year of publication:
2002
Authors: Granger, C. W. J. ; Machina, Mark J.
Publisher: La Jolla, Calif.
Subject: Volatilität | Volatility | ARCH-Modell | ARCH model | Theorie | Theory | Heteroskedastizität | Heteroscedasticity
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