Conditional Heteroskedasticity in Asset Returns: A New Approach (Q3210032)
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scientific article; zbMATH DE number 4190968
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | Conditional Heteroskedasticity in Asset Returns: A New Approach |
scientific article; zbMATH DE number 4190968 |
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Conditional Heteroskedasticity in Asset Returns: A New Approach (English)
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1991
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autoregressive conditional heteroskedasticity
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generalized autoregressive conditional heteroskedasticity
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exponential ARCH
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market volatility
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nonlinear time series
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GARCH models
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conditional variance
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asset risk premia
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asset pricing applications
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0.8399104475975037
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0.8267977833747864
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0.822468638420105
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0.8083760142326355
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0.8055202960968018
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