The memory of stock return volatility : asset pricing implications
Year of publication: |
2020
|
---|---|
Authors: | Nguyen, Duc Binh Benno ; Prokopczuk, Marcel ; Sibbertsen, Philipp |
Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 47.2020, p. 1-18
|
Subject: | Asset pricing | Long memory | Persistence | Volatility | Theorie | Theory | Volatilität | Kapitaleinkommen | Capital income | CAPM | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price |
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