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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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ID Code: 30812
Item Type: Journal Article
Keywords: Volatility Models, Volatility, Equity Markets
DOI: 10.1080/09603100600993802
ISSN: 0960-3107
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 22:47
Last Modified: 29 Feb 2012 23:42

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