A Modified GARCH Model with Spells of Shocks
| Year of publication: |
2005
|
|---|---|
| Authors: | Liu, Qingfeng ; Morimune, Kimio |
| Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 12.2005, 1, p. 29-44
|
| Publisher: |
Springer |
| Subject: | stock market | GARCH model | volatility | spells of positive or negative shocks |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005810973