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Nonparametric realized volatility estimation in the international equity markets

โœ Scribed by Vortelinos, Dimitrios I.; Thomakos, Dimitrios D.


Book ID
122921473
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
243 KB
Volume
28
Category
Article
ISSN
1057-5219

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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