Volatility dynamics and the risk-return relationship in South Africa : a GARCH approach
Year of publication: |
2021
|
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Authors: | Dwarika, Nitesha ; Moores-Pitt, Peter ; Chifurira, Retius |
Published in: |
Investment management and financial innovations. - Sumy : Publishing Company "Business Perspectives", ISSN 1810-4967, ZDB-ID 2467221-X. - Vol. 18.2021, 2, p. 106-117
|
Subject: | GARCH type models | asymmetric volatility | risk estimation | probability distributions | innovations | parademic models | Volatilität | Volatility | ARCH-Modell | ARCH model | Südafrika | South Africa | Kapitaleinkommen | Capital income | Risiko | Risk | Schätzung | Estimation | Risikomaß | Risk measure |
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