Modeling the Interactions between Volatility and Returns using EGARCH?M

Rutger-Jan Lange, AC Harvey

Research output: Contribution to journalArticleAcademicpeer-review

14 Citations (Scopus)
Original languageEnglish
Pages (from-to)909-919
Number of pages11
JournalJournal of Time Series Analysis
Volume39
DOIs
Publication statusPublished - 29 Jun 2018

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