Testing for persistence in stock returns with GARCH-stable shocks-Reference-Cited by-同舟云学术

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Testing for persistence in stock returns with GARCH-stable shocks

Published:2004-06 Issue:3 Volume:4 Page:256-265
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Bidarkota Prasad V¹,Mcculloch J Huston²

Affiliation:

1. a Department of Economics , Florida International University, University Park , DM 320A, Miami , FL , 33199 , USA

2. b Department of Economics , The Ohio State University , 410 Arps Hall, 1945 North High Street, Columbus , OH , 43210 , USA E-mail:

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1088/1469-7688/4/3/002

Reference39 articles.

1. Optimal univariate inflation forecasting with symmetric stable shocks

2. Consumption asset pricing with stable shocks—exploring a solution and its implications for mean equity returns

3. Bayesian Inference for Stable Distributions

4. Duration dependence in the US stock market cycle: a parametric approach

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