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~institution:"Finance Discipline Group, Business School"
~subject:"omitted variable test"
~subject:"contagion"
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omitted variable test
contagion
GARCH
6
ARCH
1
asymmetric GARCH models
1
asymmetry
1
autocorrelation function of squared observations
1
buyouts
1
conditional overlay
1
conditional variance model
1
constant conditional correlation
1
dynamic conditional correlation
1
efficiency
1
emerging capital markets in central and eastern european contries
1
exponential GARCH
1
feedback trading
1
generalized residuals
1
global financial crisis
1
heavy tails
1
hedge funds
1
integration
1
latent variables
1
logarithmic GARCH
1
martingale property
1
multivariate GARCH
1
nonlinearity
1
orthogonal
1
return autocorrelation
1
return comovement
1
score test
1
spillover
1
stock impact curve
1
structural GARCH
1
time series
1
time-varying beta
1
transmission
1
unconditional skewness
1
variable correlation GARCH model
1
venture capital
1
volatility model evaluation
1
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2
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Bhar, Ram
1
Dungey, Mardi
1
Milunovich, George
1
Thorp, Susan
1
Yang, Minxian
1
Institution
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Finance Discipline Group, Business School
EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X)
2
Institute for International Integration Studies (IIIS), Trinity College Dublin
2
CESifo
1
DIW Berlin (Deutsches Institut für Wirtschaftsforschung)
1
Institut für Weltwirtschaft (IfW)
1
School of Economics and Political Science, Universität St. Gallen
1
Siirtymätalouksien tutkimuslaitos, Suomen Pankki
1
Zentrum für Europäische Wirtschaftsforschung (ZEW)
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Research Paper Series / Finance Discipline Group, Business School
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Working Paper Series / Finance Discipline Group, Business School
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RePEc
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1
Endogenous Crisis Dating and Contagion Using Smooth Transition Structural
GARCH
Dungey, Mardi
;
Milunovich, George
;
Thorp, Susan
;
Yang, …
-
Finance Discipline Group, Business School
-
2012
smooth transition functions with structural
GARCH
to identify both features of markets in crisis, and provide conditions …
Persistent link: https://www.econbiz.de/10010643368
Saved in:
2
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
Saved in:
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