Stock Returns Under Alternative Volatility and Distributional Assumptions: The Case for India
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- Thakolsri, Supachok & Sethapramote, Yuthana & Jiranyakul, Komain, 2015. "Asymmetric volatility of the Thai stock market: evidence from high-frequency data," MPRA Paper 67181, University Library of Munich, Germany.
More about this item
KeywordsLeverage Effect; Excess Kurtosis; Volatility Specification; Conditional Distribution; Out-Of-Sample Forecasts;
- G00 - Financial Economics - - General - - - General
- G1 - Financial Economics - - General Financial Markets
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
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