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	Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model
	Beng Jesper Christensen[1]; Morten Nielsen[2]; Jie Zhu[3]
刊名	Journal of Empirical Finance
	2010
页码	460-470
关键词	FIEGARCH Financial leverage GARCH Long memory Risk-return tradeoff Stock returns Volatility feedback
ISSN号	0927-5398
URL标识	查看原文
内容类型	期刊论文
URI标识	http://www.corc.org.cn/handle/1471x/2314286
专题	上海大学
作者单位	[1]Aarhus University[2]Queen's University[3]Aarhus University
推荐引用方式 GB/T 7714	Beng Jesper Christensen[1],Morten Nielsen[2],Jie Zhu[3]. Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model[J]. Journal of Empirical Finance,2010:460-470.
APA	Beng Jesper Christensen[1],Morten Nielsen[2],&Jie Zhu[3].(2010).Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model.Journal of Empirical Finance,460-470.
MLA	Beng Jesper Christensen[1],et al."Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model".Journal of Empirical Finance (2010):460-470.

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