inspired the outline of the Volatility Asset Pricing Model (VAPM) based on the market’s expected volatility and the serial … dependence on the past return’s performance. both reflecting the total market risk of an investment. In view of a further …

inspired the outline of the Volatility Asset Pricing Model (VAPM) based on the market’s expected volatility and the serial … dependence on the past return’s performance. both reflecting the total market risk of an investment. In view of a further …

inspired the outline of the Volatility Asset Pricing Model (VAPM) based on the market’s expected volatility and the serial … dependence on the past return’s performance. both reflecting the total market risk of an investment. In view of a further …

This paper utilizes several tests to analyze serial dependence in financial data. In an attempt to provide a better … the absence of linear autocorrelation. However, with other tests, we found nonlinear serial dependence that affects the …

of parameter estimation or of unnoticed higher order serial dependence have not been taken into account. The limiting …

heteroscedasticity arises – necessarily and endogenously – from nonlinear serial dependence in a time series; whereas one … best response to observed volatility clustering may often be to model the nonlinear serial dependence which is likely …