haku: @author Bauer, C. / yhteensä: 4
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Tekijä: | Bauer, C. |
Otsikko: | A better asymmetric model of changing volatility in stock and exchange rate returns: Trend-GARCH |
Lehti: | European Journal of Finance
2007 : JAN/FEB, VOL. 13:1-2, p. 65-87 |
Asiasana: | stock returns exchange rates volatility models |
Kieli: | eng |
Tiivistelmä: | This paper tests empirically the impact of short run price trending on the conditional volatility. Described is the Trend-GARCH model. The empirical analysis supports the existence of trend effects. The Trend-GARCH model proves to be superiour to alternative models. It is also shown that the leverage effect is dependent on the current trend etc. |
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