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Search: subject:"leverage effects"
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Stock market
Volatility
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Leverage effects
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leverage effects
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Kapitaleinkommen
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Capital income
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Forecasting
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multivariate stochastic volatility
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block structures
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heavy-tailed distribution
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curse of dimensionality
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Ayala, Astrid
1
Baek, Jungho
1
Blazsek, Szabolcs
1
Li, Yan
1
Liang, Chao
1
Ma, Feng
1
Magweva, Rabson
1
Mahajan, Vanshu
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1
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ECONIS (ZBW)
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1
Modeling and forecasting the volatility of NIFTY 50 using GARCH and RNN models
Mahajan, Vanshu
;
Thakan, Sunil
;
Malik, Aashish
- In:
Economies : open access journal
10
(
2022
)
5
,
pp. 1-20
's volatility is asymmetric, and
leverage
effects
are evident in the results of the EGARCH (1, 1) model. Asymmetric GARCH models …
Persistent link: https://www.econbiz.de/10013199403
Saved in:
2
Dynamic volatility behaviour of stock markets in southern Africa
Mashamba, Tafirei
;
Magweva, Rabson
- In:
Journal of economic and financial sciences : JEF
12
(
2019
)
1
,
pp. 1-8
Persistent link: https://www.econbiz.de/10012019002
Saved in:
3
Global equity market volatilities forecasting : a comparison of
leverage
effects
, jumps, and overnight information
Liang, Chao
;
Li, Yan
;
Ma, Feng
;
Wei, Yu
- In:
International review of financial analysis
75
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012804153
Saved in:
4
Equity market neutral hedge funds and the stock market : an application of score-driven copula models
Ayala, Astrid
;
Blazsek, Szabolcs
- In:
Applied economics
50
(
2018
)
37
,
pp. 4005-4023
Persistent link: https://www.econbiz.de/10012060246
Saved in:
5
The investor fear gauge index (VIX) : a case of Asia-Pacific securities market
Shaikh, Imlak
;
Tripathy, Arun K.
- In:
The empirical economics letters : a monthly …
16
(
2017
)
6
,
pp. 567-575
Persistent link: https://www.econbiz.de/10011802176
Saved in:
6
A study on unobserved structural innovations of oil price : evidence from global stock, bond, foreign exchange, and energy markets
Baek, Jungho
;
Seo, Ji-Yong
- In:
Review of Pacific Basin financial markets and policies
18
(
2015
)
1
,
pp. 1-17
Persistent link: https://www.econbiz.de/10011286058
Saved in:
7
Firm level return-volatility analysis using dynamic panels
Smith, L. Vanessa
;
Yamagata, Takashi
- In:
Journal of empirical finance
18
(
2011
)
5
,
pp. 847-867
Persistent link: https://www.econbiz.de/10009492528
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