Can fear beat hope? A story of GARCH-in-Mean-Level effects for Emerging Market Country Risks
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More about this item
Keywordsnonlinear GARCH; GARCH-in-Mean-Level effect; country risk; fear of disruption; forecast performance;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-11-09 (All new papers)
- NEP-ETS-2005-11-09 (Econometric Time Series)
- NEP-FIN-2005-11-09 (Finance)
- NEP-FMK-2005-11-09 (Financial Markets)
- NEP-FOR-2005-11-09 (Forecasting)
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