Multivariate GARCH analysis of Fannie Mae, Freddie Mac, and American International Group: Did the short-selling ban reduce systemic return-risk?
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DOI: 10.1016/j.najef.2013.01.003
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- Liu, Yanxin & Li, Johnny Siu-Hang & Ng, Andrew Cheuk-Yin, 2015. "Option pricing under GARCH models with Hansen's skewed-t distributed innovations," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 108-125.
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More about this item
Keywords
Multivariate GARCH; Systemic return-risk; Short-selling constraints; Volatility persistence;All these keywords.
JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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