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volatility modelling
T. N. Nguyen
;
Minh-Ngoc Tran
;
Robert Kohn
Recurrent conditional heteroskedasticity (replication data)
We propose a new class of financial volatility models, called the REcurrent Conditional Heteroskedastic (RECH) models, to improve both in-sample analysis and out-of-sample...
DOI:10.15456/jae.2022327.072432
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