A unified framework jointly explaining business conditions, stock returns, volatility and "volatility feedback news" effects
Year of publication: |
2019
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Authors: | Kim, Chang-jin ; Kim, Yunmi |
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, 2, p. 1-14
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Subject: | "volatility feedback news" effects | expected returns | macroeconomic factors | market volatility | regime-switching | Theorie | Theory | Volatilität | Volatility | Kapitaleinkommen | Capital income | Ankündigungseffekt | Announcement effect | ARCH-Modell | ARCH model | Aktienmarkt | Stock market | Börsenkurs | Share price | Konjunktur | Business cycle | Schätzung | Estimation | Erwartungsbildung | Expectation formation | Wirkungsanalyse | Impact assessment |
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