Occurrence of long and short term asymmetry in stock market volatilities
Year of publication: |
2012-10-03
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Authors: | Lönnbark, Carl |
Institutions: | Institutionen för Nationalekonomi, Umeå Universitet |
Subject: | Financial econometrics | GARCH | memory | nonlinear | risk prediction | time series |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Umeå Economic Studies Number 848 10 pages |
Classification: | C22 - Time-Series Models ; C51 - Model Construction and Estimation ; c58 ; G15 - International Financial Markets ; G17 - Financial Forecasting |
Source: |
-
Asymmetry with respect to the memory in stock market volatilities
Lönnbark, Carl, (2012)
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The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility
Hizmeri, Rodrigo, (2019)
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Asymmetry with respect to the memory in stock market volatilities
Lönnbark, Carl, (2016)
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Effects of Explanatory Variables in Count Data Moving Average Models
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Uncertainty of Multiple Period Risk Measures
Lönnbark, Carl, (2009)
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Simultaneity and Asymmetry of Returns and Volatilities in the Emerging Baltic State Stock Exchanges
Brännäs, Kurt, (2007)
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