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http://hdl.handle.net/10071/5540
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Title: A new approach to bad news effects on volatility: the Multiple-Sign-Volume sensitive regime EGARCH model (MSV-EGARCH)
Authors: Curto, J. D.
Tomás, J. A.
Pinto, J. C.
Keywords: Conditional heteroskedasticity
Multiple regimes
Trading volume
Estimation
Forecasting
Issue Date: 2009
Publisher: Springer Verlag
Abstract: In 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.
Peer reviewed: yes
URI: http://hdl.handle.net/10071/5540
DOI: 10.1007/s10258-009-0037-9
ISSN: 1617-982X
Ciência-IUL: https://ciencia.iscte-iul.pt/id/ci-pub-10188
Accession number: WOS:000264496200004
Appears in Collections:BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica

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