Modelling changes in the unconditional variance of long stock return series
Cristina Amado; Timo Teräsvirta
| Year of publication: |
2014
|
|---|---|
| Authors: | Amado, Cristina ; Teräsvirta, Timo |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 25.2014, p. 15-35
|
| Subject: | Model specification | Conditional heteroskedasticity | Lagrange multiplier test | Time-varying unconditional variance | Long financial time series | Volatility persistence | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Börsenkurs | Share price | Kapitaleinkommen | Capital income | Heteroskedastizität | Heteroscedasticity |
| 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/10010462094