Multivariate fractionally integrated APARCH modeling of stock market volatility : a multi-country study
Christian Conrad; Menelaos Karanasos; Ning Zeng
| Year of publication: |
2011
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|---|---|
| Authors: | Conrad, Christian ; Karanasos, Menelaos ; Zeng, Ning |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 18.2011, 1, p. 147-159
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| Subject: | Asymmetric power ARCH | Fractional integration | Stock returns | Volatility forecast evaluation | Volatilität | Volatility | ARCH-Modell | ARCH model | Theorie | Theory | Börsenkurs | Share price | Kapitaleinkommen | Capital income | Schätzung | Estimation | Multivariate Analyse | Multivariate analysis | Korrelation | Correlation | Industrieländer | Industrialized countries | Aktienmarkt | Stock market |
| 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/10009301149