Work

Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model

Year: 2008

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.1150049

Authors: Bent Jesper Christensen, Morten Orregaard Nielsen, Jie Zhu

Institution: Aarhus University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1995460283

Cites: 64

Cited by: 17

Related to: 10