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 |
|---|---|---|---|
| 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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