Modeling Volatility Using GARCH Models: Evidence from Vietnam
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References listed on IDEAS
- Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-131, February.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Ezzat, Hassan, 2012. "The Application of GARCH and EGARCH in Modeling the Volatility of Daily Stock Returns During Massive Shocks: The Empirical Case of Egypt," MPRA Paper 50530, University Library of Munich, Germany.
- Korkmaz, Turhan & Çevik, Emrah İ. & Atukeren, Erdal, 2012. "Return and volatility spillovers among CIVETS stock markets," Emerging Markets Review, Elsevier, vol. 13(2), pages 230-252.
More about this item
KeywordsKeywords: Vietnamese stock markets; GARCH; volatility; return.;
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G0 - Financial Economics - - General
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