Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model

Journal of Empirical Finance

Volumn 17, Issue 3, 2010, Pages 460-470

  Christensen, Bent Jesper ^a   Nielsen, Morten Ørregaard ^b   Zhu, Jie ^c  

^a AARHUS UNIVERSITY   (Denmark)

^b QUEEN S UNIVERSITY   (Canada)

^c UNIVERSITY OF SOUTHERN DENMARK   (Denmark)

Author keywords

FIEGARCH; Financial leverage; GARCH; Long memory; Risk return tradeoff; Stock returns; Volatility feedback

Indexed keywords

EID: 77951497939     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2009.09.008     Document Type: Article

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