A behavioural explanation to the asymmetric volatility phenomenon : evidence from market volatility index
Pratap Chandra Pati, Prabina Rajib, Parama Barai
| Year of publication: |
November 2017
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|---|---|
| Authors: | Pati, Pratap Chandra ; Rajib, Prabina ; Barai, Parama |
| Published in: |
Review of financial economics : RFE. - Medford, MA : Wiley, ISSN 1058-3300, ZDB-ID 1116477-3. - Vol. 35.2017, p. 66-81
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| Subject: | Asymmetric volatility | Loss aversion | GJR-GARCH | Bai-Perron test | Volatilität | Volatility | ARCH-Modell | ARCH model | Aktienindex | Stock index | Schätzung | Estimation | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.rfe.2017.07.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011959411