haku: @author Kim, D. / yhteensä: 14
viite: 6 / 14
| Tekijä: | Kim, D. Kon, S. J. |
| Otsikko: | Structural change and time dependence in models of stock returns |
| Lehti: | Journal of Empirical Finance
1999 : SEP, VOL. 6:3, p. 283-308 |
| Asiasana: | Structural change Stock markets Models |
| Kieli: | eng |
| Tiivistelmä: | In this paper, evidence is provided that the time-series properties of stock returns include both structural change and time dependence in the conditional variance. The absence of a structural change component tends to overstate the persistence parameter in a time-dependent model specification. |
SCIMA