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
|
|---|---|
| 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
|
| 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 | Börsenkurs | Share price | Volatilität | Volatility | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012021879