Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study
Year of publication: |
2008-07
|
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Authors: | Conrad, Christian ; Karanasos, Menelaos ; Zeng, Ning |
Institutions: | Alfred-Weber-Institut für Wirtschaftswissenschaften, Fakultät für Wirtschafts- und Sozialwissenschaften |
Subject: | Asymmetric Power ARCH | Fractional integration | Stock returns | Volatility forecast evaluation |
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