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A multi-dynamic-factor model for stock returns

Victor Ng, Robert Engle and Michael Rothschild ()

Journal of Econometrics, 1992, vol. 52, issue 1-2, 245-266

Date: 1992
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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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