Hourly index return autocorrelation and conditional volatility in an EAR-GJR-GARCH model with generalized error distribution
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
|
Subject: | Autokorrelation | Autocorrelation | Volatilität | Volatility | ARCH-Modell | ARCH model | Aktienindex | Stock index | USA | United States | 1974-2002 |
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