Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model

C-Tier

Journal: Journal of Empirical Finance

Year: 2010

Volume: 17

Issue: 3

Pages: 460-470

Authors (3)

Christensen, Bent Jesper (Aarhus Universitet) Nielsen, Morten Ørregaard (Aarhus Universitet) Zhu, Jie (not in RePEc)

Score contribution per author:

0.336 = (α=2.02 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count