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Asymptotic filtering theory for univariate ARCH models
Nelson, Daniel B.
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Foster, Dean P.
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1992
Persistent link: https://www.econbiz.de/10000849715
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The time-varying-parameter model as an alternative to ARCH for modeling changing conditional variance : the case of Lucas hypothesis
Nelson, Charles R.
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1988
Persistent link: https://www.econbiz.de/10013452064
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