Cross-Sectional Distribution of GARCH Coefficients across S&P 500 Constituents: Time-Variation over the Period 2000-2012
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- Georgios Bampinas & Konstantinos Ladopoulos & Theodore Panagiotidis, 2017.
"A note on the estimated GARCH coefficients from the S&P1500 universe,"
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More about this item
KeywordsGARCH; GJR; equity; leverage effect; S&P 500 universe;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-06-04 (All new papers)
- NEP-ETS-2013-06-04 (Econometric Time Series)
- NEP-FMK-2013-06-04 (Financial Markets)
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