Modelling nonlinearities in equity returns: the mean impact curve analysis
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DOI: 10.1515/snde-2012-0030
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- Martin, Vance L. & Tang, Chrismin & Yao, Wenying, 2018. "News and expected returns in East Asian equity markets: The RV-GARCHM model," Journal of Asian Economics, Elsevier, vol. 57(C), pages 36-52.
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