Volatility dynamics under duration-dependent mixing
Year of publication: |
2000
|
---|---|
Authors: | Maheu, John M. ; McCurdy, Thomas H. |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 7.2000, 3/4, p. 345-372
|
Subject: | Portfolio-Management | Portfolio selection | Währungsrisiko | Exchange rate risk | Volatilität | Volatility | Markov-Kette | Markov chain | ARCH-Modell | ARCH model | Theorie | Theory | USA | United States | Risikomaß | Risk measure |
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