The Factor–Spline–GARCH Model for High and Low Frequency Correlations

Authors
  • José GonzaloRangel
  • Robert F.Engle
Abstract

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Article info

Journal name: Journal of Business & Economic Statistics

Year: 2012

ISSN: 0735-0015,1537-2707

DOI: 10.1080/07350015.2012.643132