Selecting between autoregressive conditional heteroskedasticity models: An empirical application to the volatility of stock returns in Peru
Abstract: An extensive family of univariate models of autoregressive conditional heteroskedasticity is applied to Peru’s daily stock market returns for the period January 3,1992 to March 30, 2012 with four different specifications related to the distribution of the disturbance term. This c...
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| Langue: | English |
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ILADES. Universidad Alberto Hurtado.
2017
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| Accès en ligne: | http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-88702017000100069 |
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