Volatility of stock-market indexes - An analysis based on SEMIFAR models

Journal of Business and Economic Statistics

Volumn 19, Issue 1, 2001, Pages 103-116

  Beran, Jan ^a   Ocker, Dirk ^b  

^a UNIVERSITY OF KONSTANZ   (Germany)

^b Swiss Union of Raiffeisenbanks ^*  (Switzerland)

Author keywords

ARCH models; Bandwidth selection; Kernel estimation; Long range dependence; Maximum likelihood estimation; Power transformation; Semiparametric model; Shortrange dependence; Trend

Indexed keywords

EID: 0035582719     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/07350010152472661     Document Type: Article

References (28)

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