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A coupled component GARCH model for intraday and overnight volatility (2017)

First Author: Wu J

Attributed to: The Centre for Microdata Methods and Practice funded by ESRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1920/wp.cem.2017.0517

Publication URI: http://dx.doi.org/10.1920/wp.cem.2017.0517

Type: Working Paper