Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model
Year of publication: |
2012-09-05
|
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Authors: | Ceylan, Ozcan |
Institutions: | Galatasaray Üniversitesi İktisadi Araştırmalar Merkezi (GİAM), Galatasaray Üniversitesi |
Subject: | Time-varying volatility asymmetry | High-frequency econometrics | EGARCH-M | HAR models | Volatility components | Variance risk premium |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series GIAM Working Papers Number 12-4 25 pages |
Classification: | C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C32 - Time-Series Models ; c58 ; G12 - Asset Pricing |
Source: |
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