A multi-country study of power ARCH models and national stock market returns
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference21 articles.
1. Fractionally integrated generalised autoregressive conditional heteroscedasticity;Baillie;Journal of Econometrics,1996
2. ARCH models: properties, estimation and testing;Bera;Journal of Economic Surveys,1993
3. Studies of stock price volatility changes;Black,1976
4. Generalised autoregressive conditional heteroskedasticity;Bollerslev;Journal of Econometrics,1986
5. A conditionally heteroskedastic time series model of security prices and rates of return data;Bollerslev;Review of Economics and Statistics,1987
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