Estimating and predicting multivariate volatility thresholds in global stock markets
Year of publication: |
2006
|
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Authors: | Audrino, Francesco ; Trojani, Fabio |
Published in: |
Journal of applied econometrics. - Chichester : Wiley-Blackwell, ISSN 0883-7252, ZDB-ID 633941-4. - Vol. 21.2006, 3, p. 345-369
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Subject: | Aktienindex | Stock index | Internationaler Finanzmarkt | International financial market | Volatilität | Volatility | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | USA | United States | Frankreich | France | Deutschland | Germany | Italien | Italy | Kanada | Canada | Großbritannien | United Kingdom | Japan | Schweiz | Switzerland | Hongkong | Hong Kong | 1998-2002 |
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