Stock market dynamics in a regime-switching asymmetric power GARCH model
Year of publication: |
2006
|
---|---|
Authors: | Ané, Thierry ; Ureche-Rangau, Loredana |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 15.2006, 2, p. 109-129
|
Subject: | ARCH-Modell | ARCH model | Aktienindex | Stock index | Kapitaleinkommen | Capital income | Volatilität | Volatility | Markov-Kette | Markov chain | Asien | Asia |
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