The stochastic volatility in mean model : empirical evidence from international stock markets
Siem Jan Koopman and Eugenie Hol Uspensky
| Year of publication: |
2002
|
|---|---|
| Authors: | Koopman, Siem Jan ; Hol Uspensky, Eugenie |
| Published in: |
Journal of applied econometrics. - Chichester : Wiley-Blackwell, ISSN 0883-7252, ZDB-ID 633941-4. - Vol. 17.2002, 6, p. 667-689
|
| Subject: | Börsenkurs | Share price | Volatilität | Volatility | ARCH-Modell | ARCH model | CAPM | Theorie | Theory | USA | United States | Großbritannien | United Kingdom | Japan |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | In: Journal of applied econometrics |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001723785