Modeling the volatility of the US S&P 500 index using an LSTGARCH model
Year of publication: |
2004
|
---|---|
Authors: | Dufrénot, Gilles ; Marimoutou, Vêlayoudom ; Péguin-Feissolle, Anne |
Published in: |
Revue d'économie politique. - Paris : Dalloz, ISSN 0373-2630, ZDB-ID 241473-9. - Vol. 114.2004, 4, p. 453-465
|
Subject: | Aktienindex | Stock index | Volatilität | Volatility | ARCH-Modell | ARCH model | USA | United States | 1988-1998 |
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