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AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE
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- Journal:
- Econometric Theory / Volume 20 / Issue 5 / October 2004
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- 01 October 2004, pp. 904-926
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6 - Smooth Transition Regression Modeling
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- Book:
- Applied Time Series Econometrics
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- 23 November 2009
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- 02 August 2004, pp 222-242
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INTRODUCTION TO THE SPECIAL ISSUE: NONLINEAR MODELING OF MULTIVARIATE MACROECONOMIC RELATIONS
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- Journal:
- Macroeconomic Dynamics / Volume 5 / Issue 4 / September 2001
- Published online by Cambridge University Press:
- 31 March 2003, pp. 461-465
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MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS
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- Journal:
- Econometric Theory / Volume 18 / Issue 4 / August 2002
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- 17 May 2002, pp. 868-885
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MODELING ASYMMETRIES AND MOVING EQUILIBRIA IN UNEMPLOYMENT RATES
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- Journal:
- Macroeconomic Dynamics / Volume 6 / Issue 2 / April 2002
- Published online by Cambridge University Press:
- 16 May 2002, pp. 202-241
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FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS
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- Journal:
- Econometric Theory / Volume 15 / Issue 6 / December 1999
- Published online by Cambridge University Press:
- 01 December 1999, pp. 824-846
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