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October 1, 2004Journal of Business and Economic Statistics

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Authors

Robert F. Engle
Robert F. EngleLouisiana State UniversitySMSimone ManganelliEuropean Central Bank

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Engle et al. (2004) studied this question.

synapsesocial.com/papers/69daa2000d540cafc583978ahttps://doi.org/10.1198/073500104000000370
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