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Pricing volatility of stock returns with volatile and persistent components · Study

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ArticlePricing volatility of stock returns with volatile and persistent components

Jie Jiang Zhu2009

OA

Articlegreen2009

Pricing volatility of stock returns with volatile and persistent components

20 citations·0/0 files stored·Financial markets and portfolio management

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1973An Intertemporal Capital Asset Pricing Model

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2008Bipower Variation for Gaussian Processes with Stationary Increments

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Year2009

Typearticle

Published2009-07-09

VenueFinancial markets and portfolio management

ISSN-L1555-4961

Languageen

Citations20

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/s11408-009-0107-0

openalex_workW1513992483

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