Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study

C-Tier

Journal: Journal of Empirical Finance

Year: 2011

Volume: 18

Issue: 1

Pages: 147-159

Authors (3)

Conrad, Christian (Ruprecht-Karls-Universität Hei...) Karanasos, Menelaos (not in RePEc) Zeng, Ning (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