Testing for Leverage Effect in Financial Returns
Year of publication: |
2014-02
|
---|---|
Authors: | Chorro, Christophe ; Guegan, Dominique ; Ielpo, Florian ; Lalaharison, Hanjarivo |
Institutions: | HAL |
Subject: | Maximum likelihood method | related-GARCH process | recursive estimation method | mixture of Gaussian distributions | Generalized hyperbolic distributions | S&P 500 | forecast | leverage effect |
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