Hourly index return autocorrelation and conditional volatility in an EAR-GJR-GARCH model with generalized error distribution
Carl R. Chen; Yuli Su; Ying Huang
| Year of publication: |
2008
|
|---|---|
| Authors: | Chen, Carl R. ; Su, Yuli ; Huang, Ying |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 15.2008, 4, p. 789-798
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| Subject: | Autokorrelation | Autocorrelation | Volatilität | Volatility | ARCH-Modell | ARCH model | Aktienindex | Stock index | USA | United States | 1974-2002 |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003759773