This paper investigates the long-run relationship between stock indices of different countries and the effect of short-run deviations from the relationship on stock returns volatility. Monthly stock indices from Canada, Denmark, Sweden, Switzerland, the United Kingdom and the United States during Ja
โฆ LIBER โฆ
HYBRID GARCH Models and Intra-Daily Return Periodicity
โ Scribed by Chen, Xilong; Ghysels, Eric; Wang, Fangfang
- Book ID
- 125808339
- Publisher
- Walter de Gruyter GmbH & Co. KG
- Year
- 2011
- Tongue
- English
- Weight
- 921 KB
- Volume
- 3
- Category
- Article
- ISSN
- 2194-6507
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