ARCH Effect in Classical Market-Timing Models with Lagged Market Variable: the Case of Polish Market
Year of publication: |
2011
|
---|---|
Authors: | Olbrys, Joanna |
Published in: |
Dynamic Econometric Models. - Uniwersytet Mikolaja Kopernika. - Vol. 11.2011, p. 185-202
|
Publisher: |
Uniwersytet Mikolaja Kopernika |
Subject: | market-timing | non-trading | ARCH effect | GARCH model |
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