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Nelson, D.B. (1991) Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica. Journal of the Econometric Society, 59, 347-370.
https://ideas.repec.org/a/ecm/emetrp/v59y1991i2p347-70.html
http://dx.doi.org/10.2307/2938260

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