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The common and specific components of dynamic volatility

Connor, Gregory and Korajczyk, R. and Linton, Oliver (2006) The common and specific components of dynamic volatility. Journal of Econometrics, 132 (1). pp. 231-255. ISSN 0304-4076

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Identification Number: 10.1016/j.jeconom.2005.01.029
Item Type: Article
Official URL: http://www.sciencedirect.com/science/journal/03044...
Additional Information: (c) 2006 Elsevier B.V.
Subjects: H Social Sciences > HB Economic Theory
Sets: Research centres and groups > Financial Markets Group (FMG)
Collections > Economists Online
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Departments > Economics
Date Deposited: 22 Aug 2007
Last Modified: 01 Oct 2010 08:48
URI: http://eprints.lse.ac.uk/id/eprint/2698

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