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The Great Moderation and Leptokurtosis after GARCH Adjustment
Fang, Wen-Shwo - 2010
Recently, Fagiolo et al. (2008) find fat tails of economic growth rates after adjusting for outliers, autocorrelation, and heteroskedasticity. This paper employs US quarterly real output growth, showing that this finding of fat tails may reflect the Great Moderation. That is, leptokurtosis...
Persistent link: https://www.econbiz.de/10012757983
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The impact of thin trading adjustments on exchange rate exposure
Jaratin Lily; Imbarine Bujang; Abdul Aziz Karia - In: Gadjah Mada international journal of business 24 (2022) 2, pp. 127-150
Persistent link: https://www.econbiz.de/10013364844
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Essays on saving and investment
Jahan, Sarwat - 2004
Persistent link: https://www.econbiz.de/10003549592
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Comportamiento reciente del mercado accionario chileno : una aplicación de tests de volatilidad y eficiencia
Basch H., Miguel; Budnevich L., Carlos - 1993
Persistent link: https://www.econbiz.de/10000884104
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Foreign shocks on Chilean financial markets : spillovers and comovements between bond and equity markets
Morales, Marco; Moreno, Carola; Vio, Camilo - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 35-50
Persistent link: https://www.econbiz.de/10010485823
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A cointegration approach to the effects of external shocks on the stock exchange : the experience of Chile and Mexico
Arellano Cadena, Rogelio - In: Money affairs 6 (1993) 2, pp. 27-43
Persistent link: https://www.econbiz.de/10001180031
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Volatilidad y eficiencia en el mercado accionario : evidencia reciente para el caso chileno
Basch H., Miguel - In: Cuadernos de economía 31 (1994) 92, pp. 59-85
Persistent link: https://www.econbiz.de/10001162512
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Return predictability in emerging equity markets
Garrett, Ian; Spyrou, Spyros - In: Ekonomia : the journal of the Cyprus Economic Society 2 (1998) 2, pp. 135-144
Persistent link: https://www.econbiz.de/10001353477
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The underpricing of Brazilian IPOs and the adjustment to public and private information
Avelino, Ricardo R. G. - In: Revista brasileira de economia : RBE ; revista da … 67 (2013) 1, pp. 3-23
Persistent link: https://www.econbiz.de/10011443850