Modeling Latin-American stock markets volatility : varying probabilities and mean reversion in a random level shift model
Year of publication: |
June 2016
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Authors: | Rodriguez, Gabriel |
Published in: |
Review of development finance. - Bellville : [Verlag nicht ermittelbar], ISSN 1879-9337, ZDB-ID 2583078-8. - Vol. 6.2016, 1, p. 26-45
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Subject: | Random level shifts model | Volatility | Long memory | GARCH | Latin-American stock markets | Forecasting | Volatilität | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Aktienmarkt | Stock market | Börsenkurs | Share price | Theorie | Theory |
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