Do common volatility models capture cyclical behaviour in volatility?

Autoria(s): Clements, Adam; Collet, Jerome
Data(s)

2008
Identificador

http://eprints.qut.edu.au/30812/
Publicador

Routledge
Relação

DOI:10.1080/09603100600993802

Clements, Adam & Collet, Jerome (2008) Do common volatility models capture cyclical behaviour in volatility? Applied Financial Economics, 18(7), pp. 599-604.
Fonte

QUT Business School; School of Economics & Finance
Palavras-Chave #150202 Financial Econometrics #Volatility Models, Volatility, Equity Markets
Tipo

Journal Article
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