The stochastic volatility in mean model: empirical evidence from international stock markets-Reference-Cited by-同舟云学术

The stochastic volatility in mean model: empirical evidence from international stock markets

Published:2002-11-13 Issue:6 Volume:17 Page:667-689
ISSN:0883-7252
Container-title:Journal of Applied Econometrics
language:en
Short-container-title:J. Appl. Econ.

Author:

Koopman Siem Jan¹,Hol Uspensky Eugenie²

Affiliation:

1. Department of Econometrics, Free University Amsterdam, The Netherlands

2. Department of Accounting and Finance, University of Birmingham, UK

Funder

Royal Netherlands Academy of Arts and Sciences.

Publisher

Wiley

Subject

Economics and Econometrics,Social Sciences (miscellaneous)

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/jae.652

Reference49 articles.

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2. ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING

3. BlackF.1976.Studies of stock price volatility changes.Proceedings of the 1976 Meetings of the American Statistical Association Business and Economical Statistics Section177–181.

4. Generalized autoregressive conditional heteroskedasticity

5. Handbook of Econometrics;Bollerslev T,1994

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