Breaks and outliers when modelling the volatility of the U.S. stock market
Vasiliki Chatzikonstanti
| Year of publication: |
October 2017
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|---|---|
| Authors: | Chatzikonstanti, Vasiliki |
| Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 49.2017, 46, p. 4704-4717
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| Subject: | Stock returns | outliers | structural breaks | GARCH | Volatilität | Volatility | USA | United States | ARCH-Modell | ARCH model | Aktienmarkt | Stock market | Strukturbruch | Structural break | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2017.1293785 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011844777