A new approach to bad news effects on volatility : the multiple-sign-volume sensitive regime EGARCH model (MSV-EGARCH)
José Dias Curto; João Amaral Tomaz; José Castro Pinto
| Year of publication: |
2009
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|---|---|
| Authors: | Curto, José Dias ; Tomaz, João Amaral ; Pinto, José Castro |
| Published in: |
Portuguese economic journal. - Berlin : Springer, ISSN 1617-982X, ZDB-ID 2083329-5. - Vol. 8.2009, 1, p. 23-36
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| Subject: | Kapitaleinkommen | Capital income | Volatilität | Volatility | Börsenkurs | Share price | Informationsverbreitung | Information dissemination | Handelsvolumen der Börse | Trading volume | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Welt | World | 1995-2008 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10003823949