Time-varying volatility asymmetry : a conditioned HAR-RV (CJ) EGARCH-M model
Özcan Ceylan
| Year of publication: |
2014
|
|---|---|
| Authors: | Ceylan, Özcan |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 17.2014/15, 2, p. 21-49
|
| Subject: | ARCH-Modell | ARCH model | Volatilität | Volatility | Streuungsmaß | Measure of dispersion | Risikoprämie | Risk premium | Risikoaversion | Risk aversion | Aktienindex | Stock index | Frankreich | France | 1994-2007 |
| Extent: | graph. Darst. |
|---|---|
| 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/10010476249