Estimating downside risk in stock returns under structural breaks
Matthew Hood, Farooq Malik
| Year of publication: |
2018
|
|---|---|
| Authors: | Hood, Matthew ; Malik, Farooq |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 58.2018, p. 102-112
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| Subject: | GARCH | Structural breaks | Volatility | Strukturbruch | Structural break | Volatilität | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Theorie | Theory | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2018.03.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012034196