A new approach to bad news effects on volatility: The Multiple-Sign-Volume sensitive regime EGARCH model (MSV-EGARCH)

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dc.contributor.authorCurto, J. D.
dc.contributor.authorTomás, J. A.
dc.contributor.authorPinto, J. C.
dc.date.accessioned2013-09-06T14:00:51Z
dc.date.available2013-09-06T14:00:51Z
dc.date.issued2009
dc.date.updated2019-03-26T16:57:08Z
dc.description.abstractIn this paper, using daily data for six major international stock market indexes and a modified EGARCH specification, the links between stock market returns, volatility and trading volume are investigated in a new nonlinear conditional variance framework with multiple regimes and volume effects. Volatility forecast comparisons, using the Harvey-Newbold test for multiple forecasts encompassing, seem to demonstrate that the MSV-EGARCH complex threshold structure is able to correctly fit GARCH-type dynamics of the series under study and dominates competing standard asymmetric models in several of the considered stock indexes.eng
dc.description.versioninfo:eu-repo/semantics/acceptedVersion
dc.distributionInternacionalpor
dc.identifier.citationCurto, J. D., Tomás, J. A., & Pinto, J. C. (2009). A new approach to bad news effects on volatility: The Multiple-Sign-Volume sensitive regime EGARCH model (MSV-EGARCH). Portuguese Economic Journal. 8 (1), 23-36. https://dx.doi.org/10.1007/s10258-009-0037-9
dc.identifier.doi10.1007/s10258-009-0037-9
dc.identifier.issn1617-982X
dc.identifier.urihttp://hdl.handle.net/10071/5540
dc.journalPortuguese Economic Journal
dc.language.isoeng
dc.number1
dc.pagination23 - 36
dc.peerreviewedyes
dc.publicationstatusPublicadopor
dc.publisherSpringer Verlag
dc.rightsopen accesspor
dc.subjectConditional heteroskedasticityeng
dc.subjectMultiple regimeseng
dc.subjectTrading volumeeng
dc.subjectEstimationeng
dc.subjectTécnicas de previsão -- Forecasting techniqueseng
dc.subject.fosDomínio/Área Científica::Ciências Sociais::Economia e Gestãopor
dc.titleA new approach to bad news effects on volatility: The Multiple-Sign-Volume sensitive regime EGARCH model (MSV-EGARCH)eng
dc.typearticle
dc.volume8
degois.publication.firstPage23
degois.publication.issue1
degois.publication.lastPage36
degois.publication.titleA new approach to bad news effects on volatility: The Multiple-Sign-Volume sensitive regime EGARCH model (MSV-EGARCH)eng
dspace.entity.typePublicationen
iscte.alternateIdentifiers.scopus2-s2.0-63349094957
iscte.alternateIdentifiers.wosWOS:000264496200004
iscte.identifier.cienciahttps://ciencia.iscte-iul.pt/id/ci-pub-10188

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