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Persistence of Stock Return Volatility in Canada

  • Published:2009-04-08 Issue:3 Volume:12 Page:224-237
  • ISSN:0825-0383
  • Container-title:Canadian Journal of Administrative Sciences / Revue Canadienne des Sciences de l'Administration
  • language:en
  • Short-container-title:

Author:

Calvet A. Louis,Rahman Abdul

Publisher

Wiley

Subject

Management of Technology and Innovation,Marketing,Public Administration,Business and International Management

Reference52 articles.

1. Conditional heteroscedasticity in time series of stock returns: Evidence and forecasts;Akgiray;Journal of Business,1989

2. The message in daily exchange rates: A conditional variance tale;Baillie;Journal of Business and Economic Statistics,1989

3. Bergstrand , J.H. 1983, SeptemberOctober Is exchange rate volatility “excessive New England Economic Review 5 14

4. Estimation inference in nonlinear structural models;Berndt;Annals of Economic and Social Measurement,1974

5. Generalized autoregressive conditional heteroscedasticity;Bollerslev;Journal of Econometrics,1986

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1. The Canadian Investment Opportunity Set, 1967-1993;Canadian Journal of Administrative Sciences / Revue Canadienne des Sciences de l'Administration;2009-04-08

2. Evidence of non-stationary bias in scaling by square root of time: Implications for Value-at-Risk;Journal of International Financial Markets, Institutions and Money;2008-07

3. VIX Forecasting;SSRN Electronic Journal;2004

4. Forecasting index volatility: sampling interval and non-trading effects;Applied Financial Economics;1998-10

5. Time-Varying Volatility in Canadian and U.S. Stock Index Futures Markets: A Multivariate Analysis;SSRN Electronic Journal;1998
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