Milionis, Alexandros - In: Journal of Risk Finance 12 (2011) August, pp. 306-314
conditionally heteroscedastic; to examine, whether or not, there exists an intervalling effect in conditional heteroscedasticity in … intervalling effect in ARCH in the residuals of the MM is examined for the first time. … – Empirical evidence is provided for the existence of: conditional heteroscedasticity in MM residuals; a pronounced intervalling …