GARCH Modeling of Robust Market Returns
Year of publication: |
2007-05
|
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Authors: | Sáez, Lucía Cuadro ; Moreno, Manuel |
Institutions: | Institut für Weltwirtschaft (IfW) |
Subject: | volume weighted return | trading volumes | international transmission of news | GARCH |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | 26 pages |
Classification: | G14 - Information and Market Efficiency; Event Studies ; G15 - International Financial Markets ; G10 - General Financial Markets. General |
Source: |
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GARCH modeling of robust market returns
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GARCH modeling of robust market returns
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