ASYMMETRIC PREDICTABILITY OF CONDITIONAL VARIANCES

• 成果类型: Article
• 署名作者: CONRAD, J; GULTEKIN, MN; KAUL, G
• 署名单位: University of Michigan System; University of Michigan; University of North Carolina; University of North Carolina Chapel Hill
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/4.4.597
• 发表日期: 1991
• 页码: 597
• 关键词: STOCK RETURNS; time-series; volatility; MODEL; heteroscedasticity; heteroskedasticity; MARKETS; rates