Modelling long memory in stock market volatility : a fractionally integrated generalised ARCH approach
Zacharias Psaradakis ; Martín Solá
| Year of publication: |
1995
|
|---|---|
| Authors: | Psaradakis, Zacharias G. ; Sola, Martin |
| Publisher: |
London |
| Subject: | ARCH-Modell | ARCH model | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Aktienmarkt | Stock market | Schätzung | Estimation | Schätztheorie | Estimation theory | Kapitaleinkommen | Capital income |
| Extent: | 21 S. : graph. Darst |
|---|---|
| Series: | Discussion paper / Centre for Economic Forecasting. - London, ISSN 0969-6598, ZDB-ID 2254286-3. |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10000906276