GARCH-M model with an asymmetric risk premium: Distinguishing between ‘good’ and ‘bad’ volatility periods
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DOI: 10.1016/j.irfa.2023.102941
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More about this item
Keywords
GARCH; Leverage effect; Risk premium; Conditional volatility;All these keywords.
JEL classification:
- C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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