Panel GARCH model with cross-sectional dependence between CEE emerging markets in trading day effects analysis
Josip Arberić, Blanka Škrabić Perić
Year of publication: |
2018
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Authors: | Arberić, Josip ; Škrabić Perić, Blanka |
Published in: |
Romanian journal of economic forecasting. - Bucharest : Inst., ISSN 2537-6071, ZDB-ID 2428295-9. - Vol. 21.2018, 4, p. 71-84
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Subject: | panel GARCH | time-varying covariance | market anomalies | emerging CEE markets | maximum likelihood estimates | ARCH-Modell | ARCH model | Osteuropa | Eastern Europe | Panel | Panel study | Schwellenländer | Emerging economies | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Volatilität | Volatility | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Schätzung | Estimation |
Saved in:
freely available