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Indirect Inference, Nuisance Parameter and Threshold Moving Average. (1999). Scaillet, Olivier ; Guay, Alain.
In: Cahiers de recherche CREFE / CREFE Working Papers.
RePEc:cre:crefwp:95.

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  1. Its all about volatility of volatility: evidence from a two-factor stochastic volatility model. (2013). Santucci de Magistris, Paolo ; Grassi, Stefano.
    In: Studies in Economics.
    RePEc:ukc:ukcedp:1404.

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  2. Which model to match?. (2012). Veredas, David ; Halbleib, Roxana ; Barigozzi, Matteo.
    In: Working Papers.
    RePEc:bde:wpaper:1229.

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  3. Simulation based estimation of threshold moving average models with contemporaneous shock asymmetry. (2011). Tastan, Huseyin ; Tatan, Huseyin .
    In: MPRA Paper.
    RePEc:pra:mprapa:34302.

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  4. Testing for threshold effect in ARFIMA models: Application to US unemployment rate data. (2009). Scaillet, Olivier ; Lahiani, Amine.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:25:y:2009:i:2:p:418-428.

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  5. Estimation dun modèle TIMA avec asymétrie contemporaine par inférence indirecte. (2006). Lahiani, Amine ; Bruneau, Catherine.
    In: Swiss Journal of Economics and Statistics (SJES).
    RePEc:ses:arsjes:2006-iv-2.

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  6. Estimation dun modèle TIMA avec asymétrie contemporaine par inférence indirecte. (2006). Lahiani, Amine ; Bruneau, Catherine.
    In: EconomiX Working Papers.
    RePEc:drm:wpaper:2006-17.

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