A note on the estimated GARCH coefficients from the S&P1500 universe
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- Georgios Bampinas & Konstantinos Ladopoulos & Theodore Panagiotidis, 2017. "A note on the estimated GARCH coefficients from the S&P1500 universe," Discussion Paper Series 2017_04, Department of Economics, University of Macedonia, revised May 2017.
References listed on IDEAS
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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-2009-07-28 (All new papers)
- NEP-CBA-2009-07-28 (Central Banking)
- NEP-ECM-2009-07-28 (Econometrics)
- NEP-EEC-2009-07-28 (European Economics)
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