Hourly Index Return Autocorrelation and Conditional Volatility in an EAR-GJR-GARCH Model with Generalized Error Distribution
Year of publication: |
2008
|
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Authors: | Chen, Carl R. ; Su, Yuli ; Huang, Ying |
Publisher: |
[S.l.] : SSRN |
Subject: | Volatilität | Volatility | ARCH-Modell | ARCH model | Autokorrelation | Autocorrelation | Aktienindex | Stock index |
Description of contents: | Abstract [papers.ssrn.com] |
Extent: | 1 Online-Ressource |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Journal of Empirical Finance, Vol. 15, No. 4, pp. 789-798, 2008 Volltext nicht verfügbar |
Classification: | G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies |
Source: | ECONIS - Online Catalogue of the ZBW |
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