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Yuli Su
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Hourly Index Return Autocorrelation and Conditional Volatility in an EAR-GJR-GARCH Model with Generalized Error Distribution
Journal of Empirical Finance, Vol. 15, No. 4, pp. 789-798, 2008
Posted: 12 Sep 2008
Carl R. Chen
, Yuli Su and
Ying Sophie Huang
University of Dayton,
affiliation not provided to SSRN
and Zhejiang University, School of Management
Abstract:
Autocorrelation, Conditional volatility, Hourly returns, EAR-GARCH
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