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The common and specific components of dynamic volatility

Connor, Gregory, Korajczyk, R. and Linton, Oliver (2006) The common and specific components of dynamic volatility. Journal of Econometrics, 132 (1). pp. 231-255. ISSN 0304-4076

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Identification Number: 10.1016/j.jeconom.2005.01.029
Item Type: Article
Official URL: http://www.sciencedirect.com/science/journal/03044...
Additional Information: (c) 2006 Elsevier B.V.
Divisions: Financial Markets Group
STICERD
Economics
Subjects: H Social Sciences > HB Economic Theory
Date Deposited: 22 Aug 2007
Last Modified: 17 Sep 2024 02:33
URI: http://eprints.lse.ac.uk/id/eprint/2698

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