Investigating impact of volatility persistence and information inflow on volatility of stock indices using bivarite GJR-GARCH
Pankaj Sinha, Shalini Agnihotri
| Year of publication: |
October 2016
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| Authors: | Sinha, Pankaj ; Agnihotri, Shalini |
| Published in: |
Global business review. - New Delhi [u.a.] : Sage, ISSN 0972-1509, ZDB-ID 2004354-5. - Vol. 17.2016, 5, p. 1145-1161
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| Subject: | Bivariate GJR-GARCH | trading volume | volatility | stock return | volatility persistence | Volatilität | Volatility | Börsenkurs | Share price | Schätzung | Estimation | ARCH-Modell | ARCH model | Theorie | Theory | Handelsvolumen der Börse | Trading volume | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Aktienindex | Stock index |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1177/0972150916656670 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011644073