Modeling the interactions between volatility and returns using EGARCH-M (Q4556517)
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scientific article; zbMATH DE number 6980382
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | Modeling the interactions between volatility and returns using EGARCH-M |
scientific article; zbMATH DE number 6980382 |
Statements
Modeling the Interactions between Volatility and Returns using EGARCH‐M (English)
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16 November 2018
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ARCH-in-mean
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dynamic conditional score (DCS) model
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equity risk premium
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leverage
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two-component model
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0.7759609222412109
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0.7619291543960571
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0.7516317367553711
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0.7509856820106506
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0.7488870620727539
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