Title:

Modelling Changes in the Unconditional Variance of Long Stock Return Series

Authors:

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

Journal:

Journal Of Empirical Finance

Year:

2014

Volume:

25

Pages:

15-35

JEL codes:

C53 - Forecasting and Other Model Applications
C58 - Financial Econometrics
G12 - Asset Pricing; Trading volume; Bond Interest Rates