SSRN Electronic Journal · 2006 · 29 citations · 54 references
Social SciencesEconomicsFinanceEconometricsFinancial EconometricsFinancial EconomicsEfficiency AnalysisMarket EfficiencyTime Series EconometricsEconomic Efficiency AnalysisMarket Efficiency TestingMarket Efficiency TestsTime-varying Risk Premia
54
Generalized autoregressive conditional heteroskedasticity
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