AN ASYMMETRIC MODEL OF CHANGING VOLATILITY IN STOCK RETURNS

J.Y. Cambell and L. Hentschel
Authors registered in the RePEc Author Service: John Y. Campbell

Working Papers from Princeton, Department of Economics - Financial Research Center

Keywords: financial market; prices; heteroskedasticity (search for similar items in EconPapers)
Pages: 27 pages
Date: 1990
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:fth:prinec:118

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