Scaling by the square-root-of-time rule : an empirical investigation using five market indexes
James Cameron, Chandra Gulati and Yan-Xia Lin
| Year of publication: |
2016
|
|---|---|
| Authors: | Cameron, James ; Gulati, Chandra M. ; Lin, Yan-xia |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 19.2016, 2, p. 61-80
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| Subject: | scaling | volatility | square-root-of-time rule | GARCH model | EGARCH model | ARCH-Modell | ARCH model | Volatilität | Volatility | Aktienindex | Stock index | Risikomaß | Risk measure | Kapitaleinkommen | Capital income | Theorie | Theory | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2016.348 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013177083