Performance comparison of alternative volatility models applied to economic indexes : the role of asymmetric effects
Mário Correia Fernandes, Tiago Mota Dutra, João C.A. Teixeira and Inês Silvestre
| Year of publication: |
2025
|
|---|---|
| Authors: | Fernandes, Mário Correia ; Dutra, Tiago M. ; Teixeira, João C. A. ; Silvestre, Inês |
| Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 57.2025, 47, p. 7657-7670
|
| Subject: | asymmetric effects | conditional heteroskedasticity | economic growth | GARCH models | volatility feedback | Volatilität | Volatility | ARCH-Modell | ARCH model | Schätzung | Estimation | Wirtschaftswachstum | Economic growth | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Heteroskedastizität | Heteroscedasticity | Aktienindex | Stock index |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2024.2393460 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015472995