Identifying common spectral and asymmetric features in stock returns
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More about this item
KeywordsAsymmetric effects; Cluster analysis; DJIA stock returns; Periodogram; Threshold ARCH model; Volatility;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-01-12 (All new papers)
- NEP-ECM-2008-01-12 (Econometrics)
- NEP-ETS-2008-01-12 (Econometric Time Series)
- NEP-RMG-2008-01-12 (Risk Management)
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