Similar Search Results

Hourly index return autocorrelation and conditional volatility in an EAR-GJR-GARCH model with generalized error distribution

Chen, Carl R.; Su, Yuli; Huang, Ying - In: Journal of empirical finance 15 (2008) 4, pp. 789-798

Persistent link: https://www.econbiz.de/10003759773

Markets contagion during financial crisis : a regime-switching approach

Guo, Feng; Chen, Carl R.; Huang, Ying - In: International review of economics & finance : IREF 20 (2011) 1, pp. 95-109

Persistent link: https://www.econbiz.de/10009304198

Hourly Index Return Autocorrelation and Conditional Volatility in an EAR-GJR-GARCH Model with Generalized Error Distribution

Chen, Carl R.; Su, Yuli; Huang, Ying Sophie - 2008

We study the autocorrelation and conditional volatility of the hourly Dow Jones Industrial Index return data from October 1974 to September 2002 using an exponential asymmetric AR-GARCH specification with a generalized error distribution. Our findings document a positive autocorrelation in...

Persistent link: https://www.econbiz.de/10014214785