Asymmetric risk and return : evidence from the Australian Stock Exchange
Minh Vo, Michael Cohen, Terry Boulter
| Year of publication: |
November 2015
|
|---|---|
| Authors: | Vo, Minh T. ; Cohen, Michael ; Boulter, Terry |
| Published in: |
Pacific-Basin finance journal. - Amsterdam [u.a.] : Elsevier, ISSN 0927-538X, ZDB-ID 1343420-2. - Vol. 35.2015, 2, p. 558-573
|
| Subject: | Stochastic volatility | Leverage effect | Volatility asymmetry | Forecasting | MCMC | Volatilität | Volatility | Australien | Australia | Kapitaleinkommen | Capital income | Schätzung | Estimation | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.pacfin.2015.10.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011543740