Do negative and positive equity returns share the same volatility dynamics?
Year of publication: |
September 2015
|
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Authors: | Palandri, Alessandro |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 58.2015, p. 486-505
|
Subject: | Volatility | Contemporaneous asymmetry | GARCH | Realized variation | Schätzung | Estimation | Theorie | Theory | Volatilität | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Börsenkurs | Share price |
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