Modelling persistence in conditional volatility of asset returns
Rajan Pandey, Arya Kumar
| Year of publication: |
2017
|
|---|---|
| Authors: | Pandey, Rajan ; Kumar, Arya |
| Published in: |
Afro-Asian Journal of Finance and Accounting : AAJFA. - Genève [u.a.] : Inderscience Enterprises, ISSN 1751-6447, ZDB-ID 2416800-2. - Vol. 7.2017, 1, p. 16-34
|
| Subject: | volatility persistence | long memory | contitional volatility | volatility clustering | structural changes | volatility asymmetry | Volatilität | Volatility | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Theorie | Theory | Schätzung | Estimation |
| 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/10011748637