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

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  • den Hertog, ReneG. J.

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  • den Hertog, ReneG. J., 1994. "Pricing of permanent and transitory volatility for U.S. stock returns : A composite GARCH model," Economics Letters, Elsevier, vol. 44(4), pages 421-426, April.
    • Handle: RePEc:eee:ecolet:v:44:y:1994:i:4:p:421-426
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    Cited by:

    1. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, Department of Economics and Business Economics, Aarhus University.
    2. Olivier Habimana, 2017. "Do flexible exchange rates facilitate external adjustment? A dynamic approach with time-varying and asymmetric volatility," International Economics and Economic Policy, Springer, vol. 14(4), pages 625-642, October.
    3. David McMillan & Alan Speight, 2002. "Temporal aggregation, volatility components and volume in high frequency UK bond futures," The European Journal of Finance, Taylor & Francis Journals, vol. 8(1), pages 70-92.

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