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Neil Shephard
Frank B. Baird Jr., Professor of Science. Professor of Economics and Professor of Statistics
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Neil Shephard
Frank B. Baird Jr., Professor of Science. Professor of Economics and Professor of Statistics
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A local scale model: state space alternatives to integrated GARCH processes
A local scale model: state space alternatives to integrated GARCH processes
Publication information:
Shephard, Neil. 1994. “A Local Scale Model: State Space Alternatives to Integrated GARCH Processes”.
Journal of Econometrics
60: 181-202.
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