A note on the estimated GARCH coefficients from the S&P1500 universe
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- Georgios Bampinas & Konstantinos Ladopoulos & Theodore Panagiotidis, 2018. "A note on the estimated GARCH coefficients from the S&P1500 universe," Applied Economics, Taylor & Francis Journals, vol. 50(34-35), pages 3647-3653, July.
- Georgios Bampinas & Konstantinos Ladopoulos & Theodore Panagiotidis, 2017. "A note on the estimated GARCH coefficients from the S&P1500 universe," Working Paper series 17-09, Rimini Centre for Economic Analysis.
References listed on IDEAS
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- repec:bla:scotjp:v:66:y:2019:i:1:p:180-197 is not listed on IDEAS
- Georgios Bampinas & Theodore Panagiotidis & Christina Rouska, 2019.
"Volatility persistence and asymmetry under the microscope: the role of information demand for gold and oil,"
Scottish Journal of Political Economy,
Scottish Economic Society, vol. 66(1), pages 180-197, February.
- Georgios Bampinas & Theodore Panagiotidis & Christina Rouska, 2018. "Volatility persistence and asymmetry under the microscope: The role of information demand for gold and oil," Working Paper series 18-13, Rimini Centre for Economic Analysis.
More about this item
KeywordsGARCH; GJR-GARCH; EGARCH; alternative distributions; volatility; time-series.;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2017-06-04 (All new papers)
- NEP-DCM-2017-06-04 (Discrete Choice Models)
- NEP-ETS-2017-06-04 (Econometric Time Series)
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