A switching ARCH (SWARCH) model of stock market volatility : some evidence from Latin America
Year of publication: |
2007
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Authors: | Canarella, Giorgio ; Pollard, Stephen K. |
Published in: |
International review of economics : journal of civil economy. - Berlin : Springer, ISSN 1865-1704, ZDB-ID 2390807-5. - Vol. 54.2007, 4, p. 445-462
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Subject: | Aktienmarkt | Stock market | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Markov-Kette | Markov chain | Schätzung | Estimation | Argentinien | Argentina | Brasilien | Brazil | Chile | Mexiko | Mexico | Peru | Venezuela | Lateinamerika | Latin America | 1994-2005 |
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