Measuring volatility persistence in the presence of sudden changes in the variance of Canadian stock returns

Canadian Journal of Economics

Volumn 38, Issue 3, 2005, Pages 1037-1056

  Malik, Farooq ^a   Ewing, Bradley T ^b   Payne, James E ^c  

^a PENNSYLVANIA STATE UNIVERSITY   (United States)

^b TEXAS TECH UNIVERSITY   (United States)

^c ILLINOIS STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

ECONOMIC INSTABILITY; FINANCIAL MARKET; MODELING; STOCK MARKET;

CANADA; NORTH AMERICA; WESTERN HEMISPHERE; WORLD;

EID: 26844491249     PISSN: 00084085     EISSN: 15405982     Source Type: Journal    
DOI: 10.1111/j.0008-4085.2005.00315.x     Document Type: Article

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