A new approach to bad news effects on volatility: the multiple-sign-volume sensitive regime EGARCH model (MSV-EGARCH)
José Dias Curto, João Amaral Tomaz, José Castro PintoVolume:
8
Language:
english
Pages:
14
DOI:
10.1007/s10258-009-0037-9
Date:
April, 2009
File:
PDF, 292 KB
english, 2009