Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M model
Year of publication: |
2009
|
---|---|
Authors: | Christensen, Bent Jesper ; Nielsen, Morten Ørregaard ; Zhu, Jie |
Publisher: |
Kingston (Ontario) : Queen's University, Department of Economics |
Subject: | Aktienindex | Kapitalertrag | Volatilität | Zeitreihenanalyse | ARCH-Modell | FIEGARCH | financial leverage | GARCH | long memory | risk-return tradeoff | stock returns | volatility feedback |
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