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; Dynamic conditional correlation ; Return comovement ; Volatility model evaluation …
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In this paper developments in the analysis of univariate nonlinear time series are considered. First a number of commonly used nonlinear models are presented. The next section is devoted to methods of testing linearity, which is an important part of nonlinear model building. Techniques of...
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This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the …
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