Multivariate fractionally integrated APARCH modelling of stock market volatility: a multi-country study
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| Main Authors: | , , |
|---|---|
| Format: | Article (Journal) |
| Language: | English |
| Published: |
2011
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| In: |
Journal of empirical finance
Year: 2011, Volume: 18, Issue: 1, Pages: 147-159 |
| ISSN: | 0927-5398 |
| DOI: | 10.1016/j.jempfin.2010.05.001 |
| Online Access: | Verlag, Volltext: http://dx.doi.org/10.1016/j.jempfin.2010.05.001
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| Author Notes: | Christian Conrad, Menelaos Karanasos, Ning Zeng |
MARC
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| 650 | 4 | |a Stock returns | |
| 650 | 4 | |a Volatility forecast evaluation | |
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