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~institution:"Department of Econometrics and Business Statistics, Monash Business School"
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Arbitrage
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Department of Econometrics and Business Statistics, Monash Business School
Economics Institute for Research (SIR), Handelshögskolan i Stockholm
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Common non-linearities in multiple series of stock market volatility
Anderson, Heather M.
;
Vahid, Farshid
-
Department of Econometrics and Business Statistics, …
-
2013
continuous and jump components of realized volatility. This paper explores the use of
smooth
transition
autoregressive (STAR …
Persistent link: https://www.econbiz.de/10011141018
Saved in:
2
Does Beta React to Market Conditions? Estimates of Bull and Bear Betas using a Nonlinear Market Model with an Endogenous Threshold Parameter
Woodward, George
;
Anderson, Heather
-
Department of Econometrics and Business Statistics, …
-
2003
We apply a logistic
smooth
transition
market model (LSTM) to a sample of returns on Australian industry portfolios to … investigate whether bull and bear market betas differ. Unlike other studies, our LSTM model allows for
smooth
transition
between …
Persistent link: https://www.econbiz.de/10005149071
Saved in:
3
Market Architecture and Nonlinear Dynamics of Australian Stock and Future Indices.
Anderson, H.M.
;
Vahid, F.
-
Department of Econometrics and Business Statistics, …
-
2001
use a new form of
smooth
transition
model to account for a variety of nonlinearities caused by transaction costs and other …
Persistent link: https://www.econbiz.de/10005427633
Saved in:
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