Multimodality in the GARCH Regression Model
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More about this item
KeywordsDummy variable; EGARCH; GARCH; Multimodality.;
- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-01-18 (All new papers)
- NEP-ECM-2004-01-25 (Econometrics)
- NEP-ETS-2004-01-18 (Econometric Time Series)
- NEP-FIN-2004-01-18 (Finance)
- NEP-IFN-2004-01-18 (International Finance)
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