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

✍ Scribed by Carl R. Chen; Yuli Su; Ying Huang

• Book ID: 118475254
• Publisher: Elsevier Science
• Year: 2008
• Tongue: English
• Weight: 431 KB
• Volume: 15
• Category: Article
• ISSN: 0927-5398
• DOI: 10.1016/j.jempfin.2007.08.002