Search Results - subject:"Persistence in Volatility"

The linkages, persistence, asymmetry in the volatility, the price discovery and efficiency, and the effect of the US subprime mortgage financial crisis on the spot and the futures market’s returns : the case of India

Paul, Muthucattu Thomas; Kimata, James D. - In: Applied economics 48 (2016) 7/9, pp. 669-683

Persistent link: https://www.econbiz.de/10011413991

The volatility of a firm's assets and the leverage effect

Choi, Jaewon; Richardson, Matthew - In: Journal of financial economics 121 (2016) 2, pp. 254-277

Persistent link: https://www.econbiz.de/10011590720

The Covariance Structure of Mixed ARMA Models

Karanasos, Menelaos - Department of Economics and Related Studies, University …

This paper extents Karanasos (1999a) results for the n Component GARCH(1,1) and the two Component GARCH(2,2) models and it further examines the n Component GARCH(n,n) model. In particular, we present the GARCH(n^2;n^2) representation of the aggregate variance and we give the condition for the...

Persistent link: https://www.econbiz.de/10005523974