Conditional jump dynamics in stock market returns
Year of publication: |
2002
|
---|---|
Authors: | Chan, Wing Hong ; Maheu, John M. |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 20.2002, 3, p. 377-389
|
Subject: | ARCH-Modell | ARCH model | Volatilität | Volatility | Kapitaleinkommen | Capital income | Theorie | Theory | USA | United States | Statistische Verteilung | Statistical distribution | ARMA-Modell | ARMA model |
Extent: | graph. Darst |
---|---|
Type of publication: | Article |
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Notes: | In: Journal of business & economic statistics |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Long memory analysis : an empirical investigation
Nazarian, Rafik, (2014)
-
Evaluating density forecasts with an application to stock market returns
Raaij, Gabriela de, (2002)
-
Evaluating density forecasts with an application to stock market returns
Raaij, Gabriela de, (2002)
- More ...
-
Time‐varying jump risk premia in stock index futures returns
Chan, Wing Hong, (2012)
-
Forecasting volatility: Roles of sampling frequency and forecasting horizon
Chan, Wing Hong, (2010)
-
Optimal hedge ratios in the presence of common jumps
Chan, Wing Hong, (2010)
- More ...