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Volatility clustering in monthly stock returns

  • Jacobsen, Ben
  • Dannenburg, Dennis
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    File URL: http://www.sciencedirect.com/science/article/B6VFG-47TX789-1/2/50b4b9de048b1e890b43d158ec9d88c9
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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
    Contact details of provider: Web page: http://www.elsevier.com/locate/jempfin

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    1. Nijman, T.E. & Palm, F.C., 1984. "Missing observations in the dynamic regression model," Other publications TiSEM 4d689d7c-4d89-4ab6-b8c3-f, School of Economics and Management.
    2. repec:ner:tilbur:urn:nbn:nl:ui:12-153295 is not listed on IDEAS
    3. Poon, Ser-Huang & Taylor, Stephen J., 1992. "Stock returns and volatility: An empirical study of the UK stock market," Journal of Banking & Finance, Elsevier, vol. 16(1), pages 37-59, February.
    4. Drost, F.C. & Nijman, T.E., 1990. "Temporal aggregation of GARCH processes," Discussion Paper 1990-66, Tilburg University, Center for Economic Research.
    5. Whitney K. Newey & Douglas G. Steigerwald, 1997. "Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models," Econometrica, Econometric Society, vol. 65(3), pages 587-600, May.
    6. Drost, F.C. & Nijman, T.E., 1993. "Temporal aggregation of GARCH processes," Other publications TiSEM 0642fb61-c7f4-4281-b484-4, School of Economics and Management.
    7. repec:ner:tilbur:urn:nbn:nl:ui:12-153273 is not listed on IDEAS
    8. Andersen, Torben G & Bollerslev, Tim, 1998. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 885-905, November.
    9. Nelson, Daniel B., 1990. "ARCH models as diffusion approximations," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 7-38.
    10. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
    11. Akgiray, Vedat, 1989. "Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts," The Journal of Business, University of Chicago Press, vol. 62(1), pages 55-80, January.
    12. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
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