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Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model

Jawadi, Fredj, Louhichi, Wael, Cheffou, Abdoulkarim Idi, Ameur, Hachmi Ben
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Language:
english
Journal:
Annals of Operations Research
DOI:
10.1007/s10479-018-2793-3
Date:
February, 2018
File:
PDF, 2.03 MB
english, 2018
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