Dynamic cross-autocorrelation in stock returns
Jyri Kinnunen
| Year of publication: |
January 2017
|
|---|---|
| Authors: | Kinnunen, Jyri |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 40.2017, p. 162-173
|
| Subject: | Autocorrelation | Cross-autocorrelation | Volatility | Vector autoregressive model | Exponential autoregressive model | Autokorrelation | Volatilität | VAR-Modell | VAR model | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2016.08.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011744473