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Arch Effects in Multifactor Market-Timing Models of Polish Mutual Funds Cover

Arch Effects in Multifactor Market-Timing Models of Polish Mutual Funds

Folia Oeconomica Stetinensia
Volume 10 (2011): Issue 2 (June 2011)
By:   
Open Access
|Jun 2012
Articles in this issue
DOI: https://doi.org/10.2478/v10031-011-0022-1 | Journal eISSN: 1898-0198 | Journal ISSN: 1730-4237
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Language: English
Page range: 60 - 80
Published on: Jun 28, 2012
Published by: University of Szczecin
In partnership with: Paradigm Publishing Services
Publication frequency: 2 issues per year
Keywords:
market-timing,
size,
book-to-market,
momentum,
nonsynchronous trading,
ARCH effects,
GARCH models
Related subjects:
Business and economics,
Political economics,
Political economics, other

© 2012 Joanna Olbryś, published by University of Szczecin
This work is licensed under the Creative Commons License.

Volume 10 (2011): Issue 2 (June 2011)