ON THE RATE OF INFORMATION ABSORPTION IN THE CONDITIONAL VARIANCE OF SES DUAL LISTED STOCKS

DOI10.1142/S0219024900000103zbMATH Open1152.91726MaRDI QIDQ3523554FDOQ3523554

Pheng Lui Ching, Wai Mun Fong

Publication date: 3 September 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

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Mathematics Subject Classification ID

Economic time series analysis (91B84)

Cites Work

• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• ARCH modeling in finance. A review of the theory and empirical evidence
• The Price Variability-Volume Relationship on Speculative Markets
• Finite sample properties of the ARCH class of models with stochastic volatility

Cited In (1)

• Modelling the lead-lag effect between dual-class shares

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