Dynamic cross-autocorrelation in stock returns
Year of publication: |
January 2017
|
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Authors: | Kinnunen, Jyri |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 40.2017, p. 162-173
|
Subject: | Autocorrelation | Cross-autocorrelation | Volatility | Vector autoregressive model | Exponential autoregressive model | Autokorrelation | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Volatilität | VAR-Modell | VAR model | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory |
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