HETEROSKEDASTICITY IN STOCK RETURN DATA - VOLUME VERSUS GARCH EFFECTS

被引：498

作者：

LAMOUREUX, CG ^{[1
]}

LASTRAPES, WD ^{[1
]}

机构：

[1] LOUISIANA STATE UNIV,COLL BUSINESS ADM,DEPT ECON,BATON ROUGE,LA 70803

来源：

JOURNAL OF FINANCE | 1990年 / 45卷 / 01期

关键词：

D O I：

10.2307/2328817

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：221 / 229

页数：9

共 27 条

[1]

[Anonymous], APPL STATIST

[2]

BAILLIE RT, 1989, IN PRESS J BUSINESS

[3] GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY [J].

BOLLERSLEV, T .

JOURNAL OF ECONOMETRICS, 1986, 31 (03) :307-327

[4] A CONDITIONALLY HETEROSKEDASTIC TIME-SERIES MODEL FOR SPECULATIVE PRICES AND RATES OF RETURN [J].

BOLLERSLEV, T .

REVIEW OF ECONOMICS AND STATISTICS, 1987, 69 (03) :542-547

[5] SUBORDINATED STOCHASTIC-PROCESS MODEL WITH FINITE VARIANCE FOR SPECULATIVE PRICES [J].

CLARK, PK .

ECONOMETRICA, 1973, 41 (01) :135-155

[6] MODEL OF ASSET TRADING UNDER ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL [J].

COPELAND, TE .

JOURNAL OF FINANCE, 1976, 31 (04) :1149-1168

[7]

Diebold F., 1986, ECON REV, V5, P51, DOI DOI 10.1080/07474938608800096

[8] EXOGENEITY [J].

ENGLE, RF ;

HENDRY, DF ;

RICHARD, JF .

ECONOMETRICA, 1983, 51 (02) :277-304

[9] AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY WITH ESTIMATES OF THE VARIANCE OF UNITED-KINGDOM INFLATION [J].

ENGLE, RF .

ECONOMETRICA, 1982, 50 (04) :987-1007

[10] STOCHASTIC DEPENDENCE OF SECURITY PRICE CHANGES AND TRANSACTION VOLUMES - IMPLICATIONS FOR MIXTURE OF DISTRIBUTIONS HYPOTHESIS [J].

EPPS, TW ;

EPPS, ML .

ECONOMETRICA, 1976, 44 (02) :305-321

← 1 2 3 →