Stock market volatility and equity returns : evidence from a two-state Markov-switching model with regressors
Xinyi Liu, Dimitris Margaritis, Peiming Wang
| Year of publication: |
2012
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|---|---|
| Authors: | Xinyi, Liu ; Margaritis, Dimitris ; Wang, Peiming |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 19.2012, 4, p. 483-496
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| Subject: | Markov switching | Mixture of normals | Price range | Trading volume | Volatility clustering | Volatilität | Volatility | Markov-Kette | Markov chain | Börsenkurs | Share price | Handelsvolumen der Börse | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Schätzung | Estimation | Prognoseverfahren | Forecasting model | Regressionsanalyse | Regression analysis |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009615667