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

DOI10.1142/S0219024900000103MaRDI QIDQ3523554zbMATH OpenFDO

Authors Wai Mun Fong, Pheng Lui Ching

Publication date 3 September 2008

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

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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Cites work

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

Cited in

(1)

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

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