Modelling and forecasting COVID-19 stock returns using asymmetric GARCH-ICAPM with mixture and heavy-tailed distributions
Rewat Khanthaporn, Nuttanan Wichitaksorn
| Year of publication: |
2023
|
|---|---|
| Authors: | Rewat Khanthaporn ; Wichitaksorn, Nuttanan |
| Subject: | COVID-19 pandemic | asymmetric GARCH | bayesian markov chain monte carlo | generalized pareto distribution | ICAPM | mixture distribution | Coronavirus | Statistische Verteilung | Statistical distribution | Markov-Kette | Markov chain | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Monte-Carlo-Simulation | Monte Carlo simulation | Bayes-Statistik | Bayesian inference | Theorie | Theory | Prognoseverfahren | Forecasting model | Epidemie | Epidemic | Börsenkurs | Share price |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2022.2141448 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014335891