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

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Where are the sources of stock market mispricing and excess volatility?

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Pricing range accrual interest rate swap employing LIBOR market models with jump risks

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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