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  • Search: subject:"S&P 500 study"
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Year of publication
Subject
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GARCH 3 S&P 500 study 3 ARCH model 2 ARCH-Modell 2 Aktienindex 2 Ausreißer 2 Börsenkurs 2 Estimation theory 2 Outliers 2 Probability theory 2 Schätztheorie 2 Share price 2 Statistical distribution 2 Statistische Verteilung 2 Stock index 2 Volatility 2 Volatilität 2 Wahrscheinlichkeitsrechnung 2 extreme events 2 tail index 2 Extreme events 1 Tail index 1
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Online availability
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Free 2 Undetermined 1
Type of publication
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Book / Working Paper 2 Article 1
Type of publication (narrower categories)
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Working Paper 2 Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1
Language
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English 3
Author
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Horváth, Roman 3 Šopov, Boril 3
Published in...
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IES Working Paper 1 IES working paper 1 The North American journal of economics and finance : a journal of financial economics studies 1
Source
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ECONIS (ZBW) 2 EconStor 1
Showing 1 - 3 of 3
Cover Image
GARCH models, tail indexes and error distributions: An empirical investigation
Šopov, Boril; Horváth, Roman - 2015
We perform a large simulation study to examine the extent to which various generalized autoregressive conditional heteroskedasticity (GARCH) models capture extreme events in stock market returns. We estimate Hill's tail indexes for individual S&P 500 stock market returns ranging from 1995-2014...
Persistent link: https://www.econbiz.de/10011340622
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Cover Image
GARCH models, tail indexes and error distributions : an empirical investigation
Šopov, Boril; Horváth, Roman - 2015
We perform a large simulation study to examine the extent to which various generalized autoregressive conditional heteroskedasticity (GARCH) models capture extreme events in stock market returns. We estimate Hill's tail indexes for individual S&P 500 stock market returns ranging from 1995-2014...
Persistent link: https://www.econbiz.de/10010529886
Saved in:
Cover Image
GARCH models, tail indexes and error distributions : an empirical investigation
Horváth, Roman; Šopov, Boril - In: The North American journal of economics and finance : a … 37 (2016), pp. 1-15
Persistent link: https://www.econbiz.de/10011672845
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