【作者(必填)】RG den Hertog

【文题(必填)】

Pricing of permanent and transitory volatility for US stock returns:: A composite GARCH model
【年份(必填)】
1994
【全文链接或数据库名称(选填)】
Pricing of permanent and transitory volatility for US stock returns:: A composite GARCH modelRG den Hertog - Economics Letters, 1994 - Elsevier
Abstract This study presents a new GARCH model decomposing total volatility into a
permanent and a transitory component. It is examined whether there are any differences in
pricing between these two volatility components.
被引用次数：5 - 相关文章 - 所有 4 个版本