The Sources of Variance in the Helsinki Stock Exchange
We investigate the relationship between the fundamental and the transitory variance. We study how the transitory variance deviates from the fundamental variance. We use the Gonzalo and Granger (1995) permanent-temporary approach to decompose the variance common factor into a transitory and a permane...
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| Format: | conferenceObject |
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2017
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| Online Access: | http://hdl.handle.net/10725/5945 http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php http://www.efmaefm.org/0EFMSYMPOSIUM/2006/papers/128-EFM06%20-%20BenSitaBernard%20-Volatility_TradingIntensity.pdf |
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