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~person:"Schabek, Tomasz"
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Search: subject:"ARCH Models"
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autoregressive conditional heteroskedastic (ARCH) models
2
beta estimation
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interval effect
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ARCH model
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ARCH-Modell
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Aktienmarkt
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Beta risk
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Betafaktor
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Börsenkurs
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Schabek, Tomasz
Shephard, Neil
7
Sheppard, Kevin
7
Giraitis, Liudas
5
Teyssière, Gilles
5
Taylor, Stephen J.
4
Yadav, Pradeep K.
4
Zhang, Yuanyuan
4
Ehrmann, Michael
3
Kokoszka, Piotr
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Leipus, Remigijus
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Pakel, Cavit
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Rashid, Abdul
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Talmi, Jonathan
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Bohn Nielsen, Heino
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Brüggemann, Imke
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Engle, Robert F.
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Francq, Christian
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Gajdka, Jerzy
2
Gürtler, Marc
2
Ibrahim, Sikiru O.
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Kocaaslan, Ozge Kandemir
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Nautz, Dieter
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Rahbek, Anders
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Rauh, Ronald
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Sucarrat, Genaro
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ANDRADE, MARINHO G.
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Achibane, Khalid
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Adcock, C. J.
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Angelidis, Timotheos
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Armitage, Seth
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Ashley, Richard
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Ashley, Richard A.
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Beran, Jan
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Brzeszczynski, Janusz
1
Brzeszczyński, Janusz
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CATALÁN, BEATRIZ
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Caetano, Sidney Martins
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Cagliesi, Gabriella
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Calamia, Anna
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Emerging Markets Finance and Trade
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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ECONIS (ZBW)
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The Role of Stock Size and Trading Intensity in the Magnitude of the "Interval Effect" in Beta Estimation: Empirical Evidence from the Polish Capital Market
Janusz Brzeszczyński
;
Gajdka, Jerzy
;
Schabek, Tomasz
- In:
Emerging Markets Finance and Trade
47
(
2011
)
1
,
pp. 28-49
). In the cases in which heteroskedasticity was present, we estimated
ARCH
models
. The results indicate that the estimates …
Persistent link: https://www.econbiz.de/10009353248
Saved in:
2
The role of stock and trading intensity in the Magnitude of the interval effect in beta estimation : empirical evidence from Polish capital market
Brzeszczyński, Janusz
;
Gajdka, Jerzy
;
Schabek, Tomasz
- In:
Emerging markets finance & trade : a journal of the …
47
(
2011
)
1
,
pp. 28-49
Persistent link: https://www.econbiz.de/10009299108
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