Panel GARCH Model with Cross-Sectional Dependence between CEE Emerging Markets in Trading Day Effects Analysis
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- Plamen Petkov & Margarita Shopova & Tihomir Varbanov & Evgeni Ovchinnikov & Angelin Lalev, 2024. "Econometric Analysis of SOFIX Index with GARCH Models," JRFM, MDPI, vol. 17(8), pages 1-30, August.
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More about this item
Keywords
panel GARCH; time-varying covariance; market anomalies; emerging CEE markets; maximum likelihood estimates;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- G1 - Financial Economics - - General Financial Markets
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