Do common volatility models capture cyclical behaviour in volatility?
Clements, Adam & Collet, Jerome (2008) Do common volatility models capture cyclical behaviour in volatility? Applied Financial Economics, 18(7), pp. 599-604.
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|Item Type:||Journal Article|
|Keywords:||Volatility Models, Volatility, Equity Markets|
|Subjects:||Australian and New Zealand Standard Research Classification > COMMERCE MANAGEMENT TOURISM AND SERVICES (150000) > BANKING FINANCE AND INVESTMENT (150200) > Financial Econometrics (150202)|
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
|Deposited On:||12 Feb 2010 12:47|
|Last Modified:||29 Feb 2012 13:42|
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