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Decomposing Densities of Stock Indexes Returns

  • Sun, Y.

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Paper provided by University of Guelph, Department of Economics and Finance in its series Working Papers with number 2004-6.

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Length: 44 pages
Date of creation: 2004
Date of revision:
Handle: RePEc:gue:guelph:2004-6
Contact details of provider: Postal: Guelph, Ontario, N1G 2W1
Phone: (519) 824-4120 ext. 53898
Fax: (519) 763-8497
Web page: https://www.uoguelph.ca/economics/

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  1. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  2. Pagan, A.R. & Schwert, G.W., 1989. "Alternative Models For Conditional Stock Volatility," Papers 89-02, Rochester, Business - General.
  3. Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-78, December.
  4. G. William Schwert, 1989. "Indexes of United States Stock Prices From 1802 to 1987," NBER Working Papers 2985, National Bureau of Economic Research, Inc.
  5. Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March.
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