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~institution:"Finance Discipline Group, Business School"
~subject:"omitted variable test"
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omitted variable test
GARCH
6
ARCH
1
asymmetric GARCH models
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asymmetry
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autocorrelation function of squared observations
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buyouts
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conditional overlay
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conditional variance model
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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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logarithmic GARCH
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martingale property
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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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unconditional skewness
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variable correlation GARCH model
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Bhar, Ram
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Finance Discipline Group, Business School
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Modelling Yen Futures Return Using Daily Data From IMM and Simex
Bhar, Ram
-
Finance Discipline Group, Business School
-
1994
in the return series as a
GARCH
(1, 1) process. The results reject the martingale behaviour in the return but find a …
Persistent link: https://www.econbiz.de/10005073691
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