Modelling Australian Stock Market Volatility: A Multivariate GARCH Approach
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- Ahmad Sarlak & Zahra Talei, 2016. "Impact of High-Frequency Trading on the Stock Returns of Large and Small Companies in the Tehran Stock Exchange," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(4), pages 216-228, April.
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More about this item
KeywordsMultivariate GARCH; Stock returns; Volatility; Australia;
- 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
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-11-27 (All new papers)
- NEP-FMK-2009-11-27 (Financial Markets)
- NEP-SEA-2009-11-27 (South East Asia)
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