haku: @author Kim, D. / yhteensä: 14
viite: 12 / 14
| Tekijä: | Kim, D. Kon, S. |
| Otsikko: | Alternative models for the conditional heteroscedasticity of stock returns |
| Lehti: | Journal of Business
1994 : OCT, VOL. 67:4, p. 563-598 |
| Asiasana: | BUSINESS ECONOMICS MODELS STOCK RETURNS |
| Kieli: | eng |
| Tiivistelmä: | This article compares econometric model specifications that have been proposed to explain the commonly observed characteristics of the unconditional distribution of daily stock returns. The empirical results indicate that the most likely ranking is (1) intertemporal dependence models, (2) Student t, (3) generalized mixture-of-normal distributions, (4) Poisson jump, (5) the stationary normal. Among the intertemporal dependence models for conditional hederoscedasticity, those with a leverage (or asymmetry) effect are superior. |
SCIMA