Modelling nonlinearities in equity returns : the mean impact curve analysis
Vance L. Martin, Saikat Sarkar and Antti Jaakko Kanto
| Year of publication: |
2014
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|---|---|
| Authors: | Martin, Vance ; Sarkar, Saikat ; Kanto, Antti Jaakko |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 18.2014, 1, p. 51-72
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| Subject: | asymmetry | news impact curve | nonlinear mean reversion and aversion | 7901 05-05-14; 7835/0206 | Theorie | Theory | Mean Reversion | Mean reversion | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Other identifiers: | 10.1515/snde-2012-0030 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010347338