Mean reversion in international markets : evidence from G.A.R.C.H. and half-life volatility models
Year of publication: |
2018
|
---|---|
Authors: | Ahmed, Rizwan Raheem ; Vveinhardt, Jolita ; Štreimikienė, Dalia ; Channar, Zahid Ali |
Published in: |
Economic research. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1331-677X, ZDB-ID 2171828-3. - Vol. 31.2018, 1,2, p. 1198-1217
|
Subject: | Mean reversion | development & emerging stock markets | half-life model | A.R.C.H.-LM | G.A.R.C.H. | Volatilität | Volatility | Mean Reversion | Schwellenländer | Emerging economies | Aktienmarkt | Stock market | Schätzung | Estimation | Kapitaleinkommen | Capital income |
-
"Leverage Effect" in country betas and volatilities?
Synyavska, Alina, (2015)
-
Goulding, Christian L., (2024)
-
Duration dependence and mean reversion : an attempt of identification in Tunisian stock market
Bejaoui, Azza, (2015)
- More ...
-
Ahmed, Rizwan Raheem, (2017)
-
Parmar, Vishnu, (2022)
-
Ashraf, Muhammad, (2018)
- More ...