LONG-RANGE DEPENDENCE IN THE CONDITIONAL VARIANCE OF STOCK RETURNS

被引：62

作者：

CRATO, N

DELIMA, PJF

机构：

[1] JOHNS HOPKINS UNIV,DEPT ECON,BALTIMORE,MD 21218

[2] STEVENS INST TECHNOL,HOBOKEN,NJ 07030

来源：

ECONOMICS LETTERS | 1994年 / 45卷 / 03期

关键词：

D O I：

10.1016/0165-1765(94)90024-8

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We examine persistence in the conditional variance of U.S. stock returns indexes. Our results show evidence of long memory in high-frequency data, suggesting that models of conditional heteroskedasticity should be made flexible enough to accommodate these empirical findings.

引用

页码：281 / 285

页数：5

共 9 条

[1] GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY [J].