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Volatility clustering in monthly stock returns

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Author Info
Jacobsen, Ben
Dannenburg, Dennis
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Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 10 (2003)
Issue (Month): 4 (September)
Pages: 479-503
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Handle: RePEc:eee:empfin:v:10:y:2003:i:4:p:479-503

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  1. Brännäs, Kurt, 2003. "Temporal Aggregation of the Returns of a Stock Index Series," UmeÃ¥ Economic Studies 614, Umeå University, Department of Economics. [Downloadable!]
  2. Fabrice Hervé, 2006. "Les fonds de pension protègent-ils les investisseurs des évolutions du marché?," Working Papers FARGO 1060101, Université de Bourgogne - LEG/Fargo (Research center in Finance,organizational ARchitecture and GOvernance). [Downloadable!]
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