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Article
Title:
Specification and Testing of Multiplicative Time-Varying GARCH Models with Applications
Authors:
Cristina Amado
(
U Minho
,
NIPE, U Minho
)
Timo Teräsvirta
(
Aarhus U
)
Journal:
Econometric Reviews
Year:
2017
Volume:
36
Number:
1-5
Pages:
421-446
JEL codes:
C58 - Financial Econometrics
F31 - Foreign Exchange
G15 - International Financial Markets
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