Modeling multiple regimes in financial volatility with a flexible coefficient GARCH model
Year of publication: |
2004
|
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Authors: | Medeiros, Marcelo C. ; Veiga, Alvaro |
Publisher: |
Rio de Janeiro : Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia |
Subject: | Kapitalmarkttheorie | Volatilität | ARCH-Modell | Volatility | GARCH models | multiple regimes | nonlinear time series | smooth transition | finance | asymmetry | leverage effect | excess of kurtosis. |
Series: | Texto para discussão ; 486 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 39488955X [GVK] hdl:10419/175973 [Handle] RePEc:rio:texdis:486 [RePEc] |
Source: |
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