Is there a relationship between the time scaling property of asset returns and the outliers? : evidence from international financial markets
Year of publication: |
2021
|
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Authors: | González Sánchez, Mariano |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 38.2021, p. 1-11
|
Subject: | Leptokurtosis | Heteroskedasticity | Outlier | Stylized facts | Time scaling | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Internationaler Finanzmarkt | International financial market | Welt | World | Finanzmarkt | Financial market | ARCH-Modell | ARCH model | Schätzung | Estimation |
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