Autoregressive conditional heteroskedasticity and changes in regime

James Hamilton () and Raul Susmel

Journal of Econometrics, 1994, vol. 64, issue 1-2, pages 307-333

Date: 1994
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Working Paper: Autoregressive Conditional Heteroskedasticity and Changes in Regime (1993)
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Persistent link: http://EconPapers.repec.org/RePEc:eee:econom:v:64:y:1994:i:1-2:p:307-333

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