Long-range dependence in daily stock volatilities

Ray, Bonnie K., Tsay, Ruey S. . Journal of Business & Economic Statistics 2000. 18 (2) :254-262

Locate this article in:

Bibtex

@article{CIS-165364,
  Author = {Ray, Bonnie K. and Tsay, Ruey S.},
  Title = {Long-range dependence in daily stock volatilities},
  Journal = {Journal of Business & Economic Statistics},
  Volume = {18},
  Number = {2},
  Year = {2000},
  Pages = {254--262},
  Keywords = {Canonical correlation, Cointegration, common components, size effects}
}

Similar articles