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- W2019970861 abstract "Empirical research has shown that the autocorrelation function of a stationary series is maximised when the latter is raised to a positive power δ, which rarely coincides with two. Thus, both the GARCH and stochastic variance (SV) models fail to capture all the non-linear dependence of the data. The proposed model, in which δ equals one, improves the specification for the SV models." @default.
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- W2019970861 title "A stochastic variance model for absolute returns" @default.
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- W2019970861 doi "https://doi.org/10.1016/0165-1765(94)00471-4" @default.
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