Forecasting volatility via stock return, range, trading volume and spillover effects : the case of Brazil
Manabu Asai; Ivan Brugal
| Year of publication: |
2013
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|---|---|
| Authors: | Asai, Manabu ; Brugal, Ivan |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 25.2013, p. 202-213
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| Subject: | Vector autoregression | Heterogeneous autoregressive models | Range | Volatility | Trading volume | Value at risk | Leverage effects | Volatilität | Brasilien | Brazil | Prognoseverfahren | Forecasting model | Handelsvolumen der Börse | ARCH-Modell | ARCH model | Spillover-Effekt | Spillover effect | VAR-Modell | VAR model | Theorie | Theory | Börsenkurs | Share price | Schätzung | Estimation | Kapitaleinkommen | Capital income | Risikomaß | Risk measure | Zeitreihenanalyse | Time series analysis | Autokorrelation | Autocorrelation | Aktienmarkt | Stock market |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009779296