Long-memory and level shifts in the volatility of stock market return indices
Pierre Perron and Zhongjun Qu
| Year of publication: |
2010
|
|---|---|
| Authors: | Perron, Pierre ; Qu, Zhongjun |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 28.2010, 2, p. 275-290
|
| Subject: | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Schätzung | Estimation | Börsenkurs | Share price | Aktienmarkt | Stock market | Aktienindex | Stock index | Kapitaleinkommen | Capital income |
| 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/10008736221