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The common and specific components of dynamic volatility

Connor, Gregory, 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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Item Type: Article
Official URL: http://www.sciencedirect.com/science/journal/03044...
Additional Information: (c) 2006 Elsevier B.V.
Library of Congress subject classification: 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
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 22 Aug 2007
URL: http://eprints.lse.ac.uk/2698/

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