Test of volatile behaviors with the asymmetric stochastic volatility model : an implementation on Nasdaq-100
Year of publication: |
2024
|
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Authors: | Suleymanov, Elchin ; Gubadli, Magsud ; Yagubov, Ulvi |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 12.2024, 5, Art.-No. 76, p. 1-18
|
Subject: | asymmetrical stochastic volatility | leverage effect | Nasdaq-100 | persistence of volatility | ARCH-Modell | ARCH model | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Kapitaleinkommen | Capital income | Theorie | Theory | Schätzung | Estimation |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks12050076 [DOI] |
Classification: | C11 - Bayesian Analysis ; C22 - Time-Series Models ; G17 - Financial Forecasting |
Source: | ECONIS - Online Catalogue of the ZBW |
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