Surprise Volume and Heteroskedasticity in Equity Market Returns
Year of publication: |
2004-09-15
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Authors: | Wagner, Niklas ; Marsh, Terry A. |
Institutions: | EconWPA |
Subject: | ARCH | trading volume | return volume dependence | asymmetric volatility | market risk premium | leverage effect |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Type of Document - none; prepared on win; to print on hp; |
Classification: | C13 - Estimation ; G10 - General Financial Markets. General ; G15 - International Financial Markets |
Source: |
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Surprise volume and heteroskedasticity in equity market returns
Wagner, Niklas, (2004)
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Surprise volume and heteroskedasticity in equity market returns
Wagner, Niklas, (2004)
-
Return-Volume Dependence and Extremes in International Equity Markets
Marsh, Terry A., (2004)
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Return-Volume Dependence and Extremes in International Equity Markets
Marsh, Terry A., (2004)
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Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes
Wagner, Niklas, (2004)
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Surprise volume and heteroskedasticity in equity market returns
Wagner, Niklas, (2004)
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