Business Cycle Asymmetries In Stock Returns: Robust Evidence
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More about this item
Keywordsasymmetries; business cycles; conditional heteroskedasticity; long memory; nonlinearities; outliers; excess returns; stable distributions;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G19 - Financial Economics - - General Financial Markets - - - Other
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