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~institution:"Finance Discipline Group, Business School"
~subject:"asymmetric GARCH models"
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asymmetric GARCH models
GARCH
6
ARCH
1
asymmetry
1
autocorrelation function of squared observations
1
buyouts
1
conditional overlay
1
conditional variance model
1
constant conditional correlation
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contagion
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dynamic conditional correlation
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efficiency
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emerging capital markets in central and eastern european contries
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exponential GARCH
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feedback trading
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generalized residuals
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global financial crisis
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heavy tails
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hedge funds
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integration
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latent variables
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logarithmic GARCH
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martingale property
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multivariate GARCH
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nonlinearity
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omitted variable test
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orthogonal
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return autocorrelation
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return comovement
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score test
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spillover
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stock impact curve
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structural GARCH
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time series
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time-varying beta
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transmission
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unconditional skewness
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variable correlation GARCH model
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venture capital
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volatility model evaluation
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Bohl, Martin T.
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Siklos, Pierre
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Finance Discipline Group, Business School
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
2
Centre for Economic Reform and Transformation, School of Management and Languages
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Economic Research Southern Africa (ERSA)
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William Davidson Institute, University of Michigan
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Empirical Evidence on Feedback Trading in Mature and Emerging Stock Markets
Bohl, Martin T.
;
Siklos, Pierre
-
Finance Discipline Group, Business School
-
2004
, together with an asymmetric
GARCH
-type model, allows us to draw conclusions about whether differences exist between mature and …
Persistent link: https://www.econbiz.de/10005027625
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