GARCH modelling of individual stock data: The impact of censoring, firm size and trading volume

Robert D Brooks, Robert W Faff, Timothy R L Fry

Research output: Contribution to journal › Article › Research › peer-review

Original language	English
Pages (from-to)	215 - 222
Number of pages	8
Journal	Journal of International Financial Markets, Institutions and Money
Volume	11
Publication status	Published - 2001

Cite this

@article{7ed101f2d9aa46de845bc0038ad6f053,

title = "GARCH modelling of individual stock data: The impact of censoring, firm size and trading volume",

author = "Brooks, {Robert D} and Faff, {Robert W} and Fry, {Timothy R L}",

year = "2001",

language = "English",

volume = "11",

pages = "215 -- 222",

journal = "Journal of International Financial Markets, Institutions and Money",

issn = "1042-4431",

publisher = "Elsevier",

}

TY - JOUR

T1 - GARCH modelling of individual stock data: The impact of censoring, firm size and trading volume

AU - Brooks, Robert D

AU - Faff, Robert W

AU - Fry, Timothy R L

PY - 2001

Y1 - 2001

M3 - Article

SN - 1042-4431

VL - 11

SP - 215

EP - 222

JO - Journal of International Financial Markets, Institutions and Money

JF - Journal of International Financial Markets, Institutions and Money

ER -