Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects
Author:
Publisher
Wiley
Subject
Economics and Econometrics,Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1540-6261.1990.tb05088.x/fullpdf
Reference27 articles.
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3. A conditionally heteroskedastic time series model for speculative prices and rates of return;Bollerslev;Review of Economics and Statistics,1987
4. A subordinated stochastic process model with finite variance for speculative prices;Clark;Econometrica,1973
5. A model of asset trading under the assumption of sequential information arrival;Copeland;The Journal of Finance,1976
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