Volatility regimes of selected central European stock returns : a Markov switching GARCH approach
Year of publication: |
2022
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Authors: | Chocholatá, Michaela |
Published in: |
Journal of business economics and management. - Vilnius : VTGU Publ. House "Technika", ISSN 2029-4433, ZDB-ID 2400520-4. - Vol. 23.2022, 4, p. 876-894
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Subject: | stock returns | volatility | GARCH | GJR-GARCH | Markov-switching (MS) | regime | MS-GARCH | MS-GJR-GARCH | Volatilität | Volatility | ARCH-Modell | ARCH model | Markov-Kette | Markov chain | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Tschechien | Czech Republic | Ungarn | Hungary | Polen | Poland | Schätzung | Estimation | Börsenkurs | Share price |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3846/jbem.2022.16648 [DOI] hdl:10419/317585 [Handle] |
Classification: | c58 ; D53 - Financial Markets ; G15 - International Financial Markets ; C22 - Time-Series Models |
Source: | ECONIS - Online Catalogue of the ZBW |
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Volatility regimes of selected central European stock returns: A Markov switching GARCH approach
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