A new approach to bad news effects on volatility: the multiple-sign-volume sensitive regime EGARCH model (MSV-EGARCH)
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Bibliographic InfoArticle provided by Springer in its journal Portuguese Economic Journal.
Volume (Year): 8 (2009)
Issue (Month): 1 (April)
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Web page: http://link.springer.de/link/service/journals/10258/index.htm
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
- C54 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Quantitative Policy Modeling
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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