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A New Approach to Bad News Effects on Volatility: the Multiple-Sign-Volume Sensitive Regime Egarch Model (Msv-Egarch)

AuthID
P-003-MBG

Author(s)

Curto, JD

Tomaz, JA

Pinto, JC

Document Type

Article

Year published

2009

Published

in PORTUGUESE ECONOMIC JOURNAL, ISSN: 1617-982X

Volume: 8, Issue: 1, Pages: 23-36 (14)

Conference

2Nd Meeting of the Portuguese Economic Journal, Date: JUL 04-05, 2008, Location: Evora, PORTUGAL, Host: Univ Evora, Ctr Adv Studies Management & Econom

Indexing

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Google Scholar^®

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Publication Identifiers

DOI: 10.1007/s10258-009-0037-9

Scopus: 2-s2.0-63349094957

Wos: WOS:000264496200004

Source Identifiers

ISSN: 1617-982X

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