The asymmetric impact of firm-specific and of index returns on the volatility processes of individual stocks
Year of publication: |
2010
|
---|---|
Authors: | Voukelatos, Nikolaos |
Published in: |
Applied financial economics. - London : Routledge, ISSN 0960-3107, ZDB-ID 1077973-5. - Vol. 20.2010, 19/21, p. 1627-1638
|
Subject: | Aktienindex | Stock index | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Volatilität | Volatility | ARCH-Modell | ARCH model | USA | United States | 1998-2007 |
-
Evaluating density forecasts with an application to stock market returns
Raaij, Gabriela de, (2002)
-
Evaluating density forecasts from models of stock market returns
Raaij, Gabriela de, (2005)
-
Evaluating density forecasts with an application to stock market returns
Raaij, Gabriela de, (2002)
- More ...
-
What do we know about individual equity options?
Bernales, Alejandro, (2019)
-
Should hedge funds deviate from the benchmark?
Panopoulou, Ekaterini, (2021)
-
Option‐implied information and stock herding
Voukelatos, Nikolaos, (2019)
- More ...