The Equity Index Skew, Market Crashes and Asymmetric Normal Mixture GARCH
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References listed on IDEAS
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More about this item
KeywordsGARCH process; normal misture; equity skew; market crash; skew persistence; leverage effect;
- 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
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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