Long memory in stock market volatility and the volatility-in-mean effect : the FIEGARCH-M model
Bent Jesper Christensen; Morten Ørregaard Nielsen; Jie Zhu
| Year of publication: |
2010
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|---|---|
| Authors: | Christensen, Bent Jesper ; Nielsen, Morten Ørregaard ; Zhu, Jie |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 17.2010, 3, p. 460-470
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| Subject: | Aktienindex | Stock index | Kapitaleinkommen | Capital income | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model |
| 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://ebvufind01.dmz1.zbw.eu/10009267288