Structural change and time dependence in models of stock returns

Journal of Empirical Finance

Volumn 6, Issue 3, 1999, Pages 283-308

  Kim, Dongcheol ^a   Kon, Stanley J ^b,c  

^a RUTGERS UNIVERSITY   (United States)

^b UNIVERSITY OF MICHIGAN   (United States)

^c Smith Breeden Associates   (United States)

Author keywords

C51; Daily stock returns; G10; GARCH; Persistence in volatility; Structural change

Indexed keywords

EID: 0001104057     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(99)00005-5     Document Type: Article

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