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This paper presents and compares several time-series models for returns of broadbased stock indices. These models nest a nonlinear asymmetric GARCH (NGARCH) model as a special case. Some of these models are empirically motivated ad-hoc specifications others are derived from a representative...
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In our analysis we discuss several dynamic panel data estimators proposed in the literature and assess their …
Persistent link: https://www.econbiz.de/10011431996
In our analysis we discuss several dynamic panel data estimators proposed in the literature and assess their …
Persistent link: https://www.econbiz.de/10001751405