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Keywords: Antileverage effect
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Journal Articles
Journal:
Journal of Economic Studies
Journal of Economic Studies (2022) 49 (8): 1360–1373.
Published: 27 December 2021
.... The author employs the asymmetry Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) models (the Exponential GARCH (EGARCH) and the Threshold GARCH (TGARCH)) and provides evidence that an exceptional time series feature emerged during the examined period: the antileverage effect. Findings...
