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http://hdl.handle.net/10071/5540
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Campo DC | Valor | Idioma |
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dc.contributor.author | Curto, J. D. | - |
dc.contributor.author | Tomás, J. A. | - |
dc.contributor.author | Pinto, J. C. | - |
dc.date.accessioned | 2013-09-06T14:00:51Z | - |
dc.date.available | 2013-09-06T14:00:51Z | - |
dc.date.issued | 2009 | - |
dc.identifier.citation | Curto, 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.issn | 1617-982X | - |
dc.identifier.uri | http://hdl.handle.net/10071/5540 | - |
dc.description.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. | eng |
dc.language.iso | eng | - |
dc.publisher | Springer Verlag | - |
dc.rights | openAccess | por |
dc.subject | Conditional heteroskedasticity | eng |
dc.subject | Multiple regimes | eng |
dc.subject | Trading volume | eng |
dc.subject | Estimation | eng |
dc.subject | Técnicas de previsão -- Forecasting techniques | eng |
dc.title | A new approach to bad news effects on volatility: The Multiple-Sign-Volume sensitive regime EGARCH model (MSV-EGARCH) | eng |
dc.type | article | - |
dc.pagination | 23 - 36 | - |
dc.publicationstatus | Publicado | por |
dc.peerreviewed | yes | - |
dc.journal | Portuguese Economic Journal | - |
dc.distribution | Internacional | por |
dc.volume | 8 | - |
dc.number | 1 | - |
degois.publication.firstPage | 23 | - |
degois.publication.lastPage | 36 | - |
degois.publication.issue | 1 | - |
degois.publication.title | A new approach to bad news effects on volatility: The Multiple-Sign-Volume sensitive regime EGARCH model (MSV-EGARCH) | eng |
dc.date.updated | 2019-03-26T16:57:08Z | - |
dc.description.version | info:eu-repo/semantics/acceptedVersion | - |
dc.identifier.doi | 10.1007/s10258-009-0037-9 | - |
dc.subject.fos | Domínio/Área Científica::Ciências Sociais::Economia e Gestão | por |
iscte.identifier.ciencia | https://ciencia.iscte-iul.pt/id/ci-pub-10188 | - |
iscte.alternateIdentifiers.wos | WOS:000264496200004 | - |
iscte.alternateIdentifiers.scopus | 2-s2.0-63349094957 | - |
Aparece nas coleções: | BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica |
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article_10188.pdf | Pós-print | 355,82 kB | Adobe PDF | Ver/Abrir |
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