Testing mean reversion in financial market volatility : evidence from S&P 500 index futures
Turan G. Bali; K. Ozgur Demirtas
| Year of publication: |
2008
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|---|---|
| Authors: | Bali, Turan G. ; Demirtas, K. Ozgur |
| Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 28.2008, 1, p. 1-33
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| Subject: | Index-Futures | Index futures | Mean Reversion | Mean reversion | Volatilität | Volatility | ARCH-Modell | ARCH model | USA | United States | 1982-2002 |
| 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/10003746336