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Modelling Volatility Cycles: the (MF)^2 GARCH Model
Author(s) -
Christian Conrad,
Robert F. Engle
Publication year - 2021
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.3793571
Subject(s) - volatility (finance) , autoregressive conditional heteroskedasticity , econometrics , economics

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