Volatility dynamics under duration-dependent mixing

John M. Maheu; Thomas H. McCurdy

Year of publication:	2000
Authors:	Maheu, John M. ; McCurdy, Thomas H.
Published in:	Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 7.2000, 3/4, p. 345-372
Subject:	Portfolio-Management \| Portfolio selection \| Währungsrisiko \| Exchange rate risk \| Volatilität \| Volatility \| Markov-Kette \| Markov chain \| ARCH-Modell \| ARCH model \| Theorie \| Theory \| USA \| United States \| Risikomaß \| Risk measure

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