Estimation of Asymmetric Stochastic Volatility Models for Stock-Exchange Index Returns
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Bibliographic InfoArticle provided by Springer in its journal International Advances in Economic Research.
Volume (Year): 15 (2009)
Issue (Month): 1 (February)
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Web page: http://www.springerlink.com/link.asp?id=112112
Leverage effect; Stochastic volatility; Stock returns; C22; C51;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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