Asymmetric GARCH and the financial crisis: a preliminary study
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- Výrost, Tomáš & Baumöhl, Eduard, 2009. "Asymmetric GARCH and the financial crisis: a preliminary study," MPRA Paper 27909, University Library of Munich, Germany.
References listed on IDEAS
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More about this item
Keywordsvolatility modeling; financial crisis; asymmetric GARCH class models; news impact curve;
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G01 - Financial Economics - - General - - - Financial Crises
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-01-16 (All new papers)
- NEP-ETS-2011-01-16 (Econometric Time Series)
- NEP-MST-2011-01-16 (Market Microstructure)
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