Volatility dynamics under duration-dependent mixing

John Maheu and Thomas McCurdy

Journal of Empirical Finance, 2000, vol. 7, issue 3-4, 345-372

Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:7:y:2000:i:3-4:p:345-372

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