Pricing of permanent and transitory volatility for U.S. stock returns. A composite GARCH model

DOI10.1016/0165-1765(94)90115-5zbMath0800.90224OpenAlexW1592504038MaRDI QIDQ1327978

René G. J. den Hertog

Publication date: 3 July 1994

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(94)90115-5

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Cites Work

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• ARCH modeling in finance. A review of the theory and empirical evidence
• Modelling the persistence of conditional variances
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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