A better asymmetric model of changing volatility in stock and exchange rate returns: Trend-GARCH

European Journal of Finance

Volumn 13, Issue 1, 2007, Pages 65-87

  Bauer, Christian ^a  

^a UNIVERSITY OF BAYREUTH   (Germany)

Author keywords

GARCH; Leverage effect; News impact curve; Persistence; Trend; Volatility

Indexed keywords

EID: 33845439126     PISSN: 1351847X     EISSN: 14664364     Source Type: Journal    
DOI: 10.1080/13518470600763752     Document Type: Article

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