"Semiparametric score driven volatility models."

Francisco Blasques, Jiangyu Ji, André Lucas (2016)

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DOI: 10.1016/J.CSDA.2015.04.003

access: closed

type: Journal Article

metadata version: 2020-02-18

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Francisco Blasques, Jiangyu Ji, André Lucas:
Semiparametric score driven volatility models. Comput. Stat. Data Anal. 100: 58-69 (2016)

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