RISK PERCEPTION AND EQUITY RETURNS: EVIDENCE FROM THE SPX AND VIX

DOI10.1111/j.1467-8586.2011.00409.xzbMath1279.91132OpenAlexW2150352445MaRDI QIDQ2870074

Jianhua Gang, Xiang Li

Publication date: 17 January 2014

Published in: Bulletin of Economic Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-8586.2011.00409.x

zbMATH Keywords

GARCH modelssemi-nonparametricconditional joint density

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Statistical methods; economic indices and measures (91B82)

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