A nonlinear model of asset returns with multiple shocks
Year of publication: |
2019
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Authors: | Kahra, Hannu ; Martin, Vance ; Sarkar, Saikat |
Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 23.2019, 1, p. 1-45
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Subject: | multivariate mean impact surface | shock spillovers | testing | Schock | Shock | Kapitaleinkommen | Capital income | Spillover-Effekt | Spillover effect | Theorie | Theory | Nichtlineare Regression | Nonlinear regression | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | VAR-Modell | VAR model | Börsenkurs | Share price | CAPM |
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