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Semiparametric efficient adaptive estimation of asymmetric GARCH models

Yiguo Sun and Thanasis Stengos

Journal of Econometrics, 2006, vol. 133, issue 1, 373-386

Date: 2006
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Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

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