Measuring Contemporaneous Correlation between Return Shock and Volatility Shock in an EGARCH Model
Year of publication: |
2011
|
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Authors: | Yang, Minxian |
Publisher: |
[2011]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Schock | Shock | Korrelation | Correlation | ARCH-Modell | ARCH model | Theorie | Theory | Börsenkurs | Share price | Schätzung | Estimation | Kapitaleinkommen | Capital income |
Extent: | 1 Online-Ressource (28 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 12, 2006 erstellt |
Other identifiers: | 10.2139/ssrn.1543063 [DOI] |
Classification: | C22 - Time-Series Models ; C51 - Model Construction and Estimation ; G12 - Asset Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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