Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect : The FIEGARCH-M Model
Year of publication: |
2008
|
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Authors: | Christensen, Bent Jesper ; Nielsen, Morten Ørregaard ; Zhu, Jie |
Publisher: |
[S.l.] : SSRN |
Subject: | ARCH-Modell | ARCH model | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Aktienindex | Stock index |
Extent: | 1 Online-Ressource (19 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 12, 2007 erstellt |
Other identifiers: | 10.2139/ssrn.1148747 [DOI] |
Classification: | C22 - Time-Series Models |
Source: | ECONIS - Online Catalogue of the ZBW |
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