Modelling stock returns volatility with dynamic conditional score models and random shifts
Year of publication: |
2022
|
---|---|
Authors: | Alanya-Beltran, Willy |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 45.2022, p. 1-9
|
Subject: | Beta-t-EGARCH | Random shifts | Stock returns | Emerging markets | Kapitaleinkommen | Capital income | Theorie | Theory | Volatilität | Volatility | Börsenkurs | Share price | Schwellenländer | Emerging economies | ARCH-Modell | ARCH model | CAPM |
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