Modelling changes in the unconditional variance of long stock return series
Year of publication: |
2014
|
---|---|
Authors: | Amado, Cristina ; Teräsvirta, Timo |
Published in: |
Journal of Empirical Finance. - Elsevier, ISSN 0927-5398. - Vol. 25.2014, C, p. 15-35
|
Publisher: |
Elsevier |
Subject: | Model specification | Conditional heteroskedasticity | Lagrange multiplier test | Time-varying unconditional variance | Long financial time series | Volatility persistence |
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