Asymmetry with respect to the memory in stock market volatilities
Year of publication: |
June 2016
|
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Authors: | Lönnbark, Carl |
Published in: |
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria. - Berlin : Springer, ISSN 0377-7332, ZDB-ID 519394-1. - Vol. 50.2016, 4, p. 1409-1419
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Subject: | Financial econometrics | GARCH | News impact | Nonlinear | Risk prediction | Time series | Theorie | Theory | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Aktienindex | Stock index | Kapitaleinkommen | Capital income | Risikomaß | Risk measure | Finanzmarkt | Financial market | Kapitalmarktrendite | Capital market returns | Börsenkurs | Share price |
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