A new approach to bad news effects on volatility: the multiple-sign-volume sensitive regime EGARCH model (MSV-EGARCH)
Year of publication: |
2009
|
---|---|
Authors: | Curto, José Dias ; Tomaz, João ; Pinto, José Castro |
Published in: |
Portuguese Economic Journal. - Springer. - Vol. 8.2009, 1, p. 23-36
|
Publisher: |
Springer |
Subject: | Conditional heteroskedasticity | Multiple regimes | Trading volume | Estimation | Forecasting |
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