Long memory in stock market volatility and the volatility-in-mean effect : the FIEGARCH-M model
Year of publication: |
2009
|
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Authors: | Christensen, Bent Jesper ; Nielsen, Morten Ørregaard ; Zhu, Jie |
Publisher: |
Kingston, Ont. : Queen's Economics Dep., Queen's Univ. |
Subject: | Aktienindex | Stock index | Kapitaleinkommen | Capital income | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model |
Extent: | Online-Ressource (22 S., 207.90 Kb) |
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Series: | Queen's Economics Department working paper. - Kingston, Ontario : [Verlag nicht ermittelbar], ZDB-ID 2272591-X. - Vol. 1207 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Systemvoraussetzungen: Acrobat Reader |
Other identifiers: | hdl:10419/67753 [Handle] |
Classification: | C22 - Time-Series Models |
Source: | ECONIS - Online Catalogue of the ZBW |
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