Is asymmetric mean-reverting pattern in stock returns systematic? : Evidence from Pacific-basin markets in the short-horizon
Year of publication: |
2003
|
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Authors: | Nam, Kiseok ; Pyun, Chong-soo ; Kim, Sei-Wan |
Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 13.2003, 5, p. 481-502
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Subject: | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Volatilität | Volatility | Asiatisch-pazifischer Raum | Asia-Pacific region |
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