Conditional Heteroskedasticity Driven by Hidden Markov Chains

Christian Francq, Michel Roussignol and Jean-Michel Zakoian
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Michel Roussignol: Crest

No 98-45, Working Papers from Center for Research in Economics and Statistics

Date: 1998
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Journal Article: Conditional Heteroskedasticity Driven by Hidden Markov Chains (2001)
Working Paper: Conditional heteroskedasticity driven by hidden Markov chains (1998)
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