Switching volatility in private internat
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Raul Susmel
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Article
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2000
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John Wiley and Sons
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English
โ 328 KB
๐ 2 views
This paper analyzes the behavior of time-varying volatility when structural changes are allowed in international stock markets. A model developed by Autoregressive conditional heteroskedasticity and changes in regime. Journal of Econometrics 64: 307 -333], the switching autoregresive conditional he