A new approach to bad news effects on volatility: the multiple-sign-volume sensitive regime EGARCH model (MSV-EGARCH)
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- Ioannis A. Tampakoudis & Demetres N. Subeniotis & Ioannis G. Kroustalis, 2012. "Modelling volatility during the current financial crisis: an empirical analysis of the US and the UK stock markets," International Journal of Trade and Global Markets, Inderscience Enterprises Ltd, vol. 5(3/4), pages 171-194.
More about this item
KeywordsConditional heteroskedasticity; Multiple regimes; Trading volume; Estimation; Forecasting; C22; C51; C54; G15;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C54 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Quantitative Policy Modeling
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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