A new approach to bad news effects on volatility: the multiple-sign-volume sensitive regime EGARCH model (MSV-EGARCH)
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Volume (Year): 8 (2009)
Issue (Month): 1 (April)
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References listed on IDEAS
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- Asger Lunde & Peter Reinhard Hansen, 2001. "A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?," Working Papers 2001-04, Brown University, Department of Economics.
- Niklas Wagner & Terry A. Marsh, 2004. "Surprise Volume and Heteroskedasticity in Equity Market Returns," Econometrics 0409009, EconWPA.
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