Non-linearity, persistence and spillover effects in stock returns : the role of the volatility index
Year of publication: |
2015
|
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Authors: | Wu, Po-Chin ; Pan, Sheng-Chieh ; Tai, Xue-Ling |
Published in: |
Empirica : journal of european economics. - Dordrecht : Springer, ISSN 0340-8744, ZDB-ID 188142-5. - Vol. 42.2015, 3, p. 597-613
|
Subject: | Panel smooth transition autoregression (PSTAR) model | Volatility index (VIX) | Persistence | Spillover effect | Regime switching | Volatilität | Volatility | Spillover-Effekt | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Börsenkurs | Share price | Panel | Panel study | Autokorrelation | Autocorrelation | Schätzung | Estimation | Aktienmarkt | Stock market | Nichtlineare Regression | Nonlinear regression | Aktienindex | Stock index | Zeitreihenanalyse | Time series analysis |
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