Modeling and forecasting stock return volatility using a random level shift model
Year of publication: |
2010
|
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Authors: | Lu, Yang K. ; Perron, Pierre |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 17.2010, 1, p. 138-156
|
Subject: | Strukturbruch | Structural break | ARCH-Modell | ARCH model | Volatilität | Volatility | Kapitaleinkommen | Capital income |
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