Long Memory in Stock Market Volatility and the Volatility-In-Mean Effect: The FIEGARCH-M Model

SSRN Electronic Journal
doi 10.2139/ssrn.1148747
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Elsevier BV

Related search

Intraday Periodicity and Long Memory Volatility in Hong Kong Stock Market

Open Journal of Social Sciences
2015English

A Wavelet Analysis of Scaling Laws and Long-Memory in Stock Market Volatility

SSRN Electronic Journal
2007English

Macroeconomic Volatility and Stock Market Volatility, Worldwide

2008English

Market Risk and Volatility in the Brazilian Stock Market

Journal of Applied Economics
EconomicsEconometricsFinance
2003English

Stock Market Volatility and Learning

2015English

Stock Market Return and Volatility: Day-Of-The-Week Effect

Journal of Economics and Finance
EconomicsEconometricsFinance
2010English

Stock Market Volatility and the Great Moderation

Finance and Economics Discussion Series
2005English

Stock Market Volatility: Reading the Meter

2002English

Modeling Asymmetric Volatility in the Indian Stock Market

International Journal of Business and Management
2011English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2024 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy