Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models
Miguel Ataurima Arellano, Gabriel Rodríguez
| Year of publication: |
2020
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|---|---|
| Authors: | Arellano, Miguel Ataurima ; Perez Rodriguez, Gabriel |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 52.2020, p. 1-18
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| Subject: | MS-GARCH models | GARCH models | Returns | Volatility | Latin American countries | High-income countries | Stock | Forex | ARCH-Modell | ARCH model | Volatilität | Kapitaleinkommen | Capital income | Devisenmarkt | Foreign exchange market | Wechselkurs | Exchange rate | Aktienmarkt | Stock market | Lateinamerika | Latin America |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2020.101163 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012654810