Financial econometrics -- a new discipline with new methods. (With comments)
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Publication:1841087
DOI10.1016/S0304-4076(00)00053-1zbMath1099.62548OpenAlexW2104338016MaRDI QIDQ1841087
Publication date: 2001
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(00)00053-1
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
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Uses Software
Cites Work
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- Generalized autoregressive conditional heteroscedasticity
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Multivariate Stochastic Variance Models
- Autoregressive Conditional Density Estimation
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- The Econometrics of Ultra-high-frequency Data
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