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

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45 Citationer (Scopus)

Abstract

Udgivelsesdato: June

Originalsprog	Engelsk
Tidsskrift	Journal of Empirical Finance
Vol/bind	17
Nummer	3
Sider (fra-til)	460-470
ISSN	0927-5398
DOI	https://doi.org/10.1016/j.jempfin.2009.09.008
Status	Udgivet - 2010

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title = "Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model",

abstract = "Udgivelsesdato: June",

author = "Christensen, {Bent Jesper} and Nielsen, {Morten {\O}rregaard} and Jie Zhu",

year = "2010",

doi = "10.1016/j.jempfin.2009.09.008",

language = "English",

volume = "17",

pages = "460--470",

journal = "Journal of Empirical Finance",

issn = "0927-5398",

publisher = "Elsevier BV",

number = "3",

}

TY - JOUR

T1 - Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model

AU - Christensen, Bent Jesper

AU - Nielsen, Morten Ørregaard

AU - Zhu, Jie

PY - 2010

Y1 - 2010

N2 - Udgivelsesdato: June

AB - Udgivelsesdato: June

U2 - 10.1016/j.jempfin.2009.09.008

DO - 10.1016/j.jempfin.2009.09.008

M3 - Journal article

SN - 0927-5398

VL - 17

SP - 460

EP - 470

JO - Journal of Empirical Finance

JF - Journal of Empirical Finance

IS - 3

ER -