Department of Economics and Business Economics

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

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  • Bent Jesper Christensen
  • Morten Ørregaard Nielsen, Queen's University, Canada
  • Jie Zhu, University of Southern Denmark, Denmark
  • School of Economics and Management
Udgivelsesdato: June
Original languageEnglish
JournalJournal of Empirical Finance
Volume17
Issue3
Pages (from-to)460-470
ISSN0927-5398
DOIs
Publication statusPublished - 2010

See relations at Aarhus University Citationformats

ID: 17452213