Volatility Components, Affine Restrictions, and Nonnormal Innovations

Peter Christoffersen, Christian Dorion, Kris Jacobs and Yintian Wang

Journal of Business & Economic Statistics, 2010, vol. 28, issue 4, 483-502

Date: 2010
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Working Paper: Volatility Components, Affine Restrictions and Non-Normal Innovations (2008)
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