Title:

Modelling Volatility by Variance Decomposition

Authors:

Cristina Amado (Aarhus U, U Minho)
Timo Teräsvirta (Aarhus U)

Journal:

Journal of Econometrics

Year:

2013

Volume:

175

Pages:

142-153

JEL codes:

C22 - Time-Series Models
G12 - Asset Pricing; Trading volume; Bond Interest Rates