Modeling conditional return autocorrelation

Michael D McKenzie, Robert W Faff

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

Original language	English
Pages (from-to)	23 - 42
Number of pages	20
Journal	International Review of Financial Analysis
Volume	14
Issue number	1
DOIs	https://doi.org/10.1016/j.irfa.2004.06.002
Publication status	Published - 2005

Access to Document

@article{65c067f864ff402b8396394d48bcc017,

title = "Modeling conditional return autocorrelation",

author = "McKenzie, {Michael D} and Faff, {Robert W}",

year = "2005",

doi = "10.1016/j.irfa.2004.06.002",

language = "English",

volume = "14",

pages = "23 -- 42",

journal = "International Review of Financial Analysis",

issn = "1057-5219",

publisher = "Elsevier",

number = "1",

}