Modelling and forecasting COVID-19 stock returns using asymmetric GARCH-ICAPM with mixture and heavy-tailed distributions
Year of publication: |
2023
|
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Authors: | Rewat Khanthaporn ; Wichitaksorn, Nuttanan |
Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 55.2023, 51, p. 6042-6061
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Subject: | COVID-19 pandemic | asymmetric GARCH | bayesian markov chain monte carlo | generalized pareto distribution | ICAPM | mixture distribution | Statistische Verteilung | Statistical distribution | Coronavirus | ARCH-Modell | ARCH model | Bayes-Statistik | Bayesian inference | Kapitaleinkommen | Capital income | Markov-Kette | Markov chain | Theorie | Theory | Prognoseverfahren | Forecasting model | Börsenkurs | Share price |
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