Surprise volume and heteroskedasticity in equity market returns
Year of publication: |
2004
|
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Authors: | Wagner, Niklas ; Marsh, Terry A. |
Publisher: |
München : Technische Universität München, Center for Entrepreneurial and Financial Studies (CEFS) |
Subject: | ARCH | trading volume | return volume dependence | asymmetric volatility | market risk premium | leverage effect |
Series: | Working Paper ; 2004-03 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 664483097 [GVK] hdl:10419/48531 [Handle] RePEc:zbw:cefswp:200403 [RePEc] |
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)
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Return-Volume Dependence and Extremes in International Equity Markets
Marsh, Terry A., (2004)
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Surprise volume and heteroskedasticity in equity market returns
Wagner, Niklas F., (2004)
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Wagner, Niklas F., (2004)
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Measuring tail thickness under GARCH and an application to extreme exchange rate changes
Wagner, Niklas F., (2005)
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