Asymmetric fractionally integrated volatility modelling of Asian equity markets under the subprime mortgage crisis
Year of publication: |
2012
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Authors: | Chin, Wen Cheong ; Ng Sew Lai ; Nurul Afidah Mohmad Yusof ; Khor Chia Ying |
Published in: |
Journal of quantitative economics : official journal of the Indian Econometric Society. - Dordrecht : Springer Science + Business Media, ISSN 0971-1554, ZDB-ID 1235170-2. - Vol. 10.2012, 1, p. 70-84
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Subject: | fractionally integrated ARCH | leverage effect | subprime mortgage crisis | Finanzkrise | Financial crisis | Subprime-Krise | Subprime financial crisis | Volatilität | Volatility | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model |
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