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Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures

Recognition Program

Authors: Matteo Barigozzi, Christian Brownlees, Giampiero M. Gallo and David Veredas

Journal of Econometrics, Vol. 182, No 2, 364--384, January, 2014
DOI: 
10.1016/j.jeconom.2014.05.017
This paper is acknowledged by the Barcelona School of Economics Recognition Program

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