Long-term equity anticipation securities and stock market volatility dynamics

Journal of Econometrics

Volumn 92, Issue 1, 1999, Pages 75-99

  Bollerslev, Tim ^b   Mikkelsen, Hans Ole ^a  

^a UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

^b NONE

Author keywords

Fractionally integrated EGARCH; Leaps; Long memory; Option pricing; Stock market volatility

Indexed keywords

EID: 0002691865     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(98)00086-4     Document Type: Article

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