Asymmetry with respect to the memory in stock market volatilities
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More about this item
KeywordsFinancial econometrics; GARCH; news impact; nonlinear; risk prediction; time series;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-10-20 (All new papers)
- NEP-ECM-2012-10-20 (Econometrics)
- NEP-ETS-2012-10-20 (Econometric Time Series)
- NEP-FMK-2012-10-20 (Financial Markets)
- NEP-MST-2012-10-20 (Market Microstructure)
- NEP-RMG-2012-10-20 (Risk Management)
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