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Stylized facts of return series, robust estimates and three popular models of volatility
16 references·2 citing·31 second hop
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References

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  • 2010Modelling Nonlinear Economic Time Series

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352 cited

Cited by

  • 2014Specification and testing of multiplicative time-varying GARCH models with applications42 cited
  • 2019Do Jumps and Co-jumps Improve Volatility Forecasting of Oil and Currency Markets?24 cited