Multivariate GARCH analysis of Fannie Mae, Freddie Mac, and American International Group: Did the short-selling ban reduce systemic return-risk?
Year of publication: |
2013
|
---|---|
Authors: | Ulibarri, Carlos A. |
Published in: |
The North American Journal of Economics and Finance. - Elsevier, ISSN 1062-9408. - Vol. 25.2013, C, p. 60-69
|
Publisher: |
Elsevier |
Subject: | Multivariate GARCH | Systemic return-risk | Short-selling constraints | Volatility persistence |
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