Surprise volume and heteroskedasticity in equity market returns

DOI10.1080/14697680500147978zbMath1118.91357OpenAlexW3124888226MaRDI QIDQ5697322

Terry A. Marsh, Niklas Wagner

Publication date: 17 October 2005

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/48531

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Cites Work

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• Multivariate Stochastic Variance Models