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Keywords: EGARCH
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Journal Articles
Journal:
Managerial Finance
Managerial Finance (2020) 46 (1): 19–39.
Published: 16 October 2019
... uses the generalized autoregressive conditional heteroscedasticity (GARCH) model (Bollerslev, 1986). To explain the leverage effect of ETFs and index return volatility, we use the exponential generalized autoregressive conditional heteroscedasticity (EGARCH) model by Nelson (1991) . The results from...
Journal Articles
Journal:
Managerial Finance
Managerial Finance (2012) 38 (3): 341–358.
Published: 17 February 2012
... International finance Financial markets Bonds Loans Bond markets Loan markets September 11 International financial markets Financial crises EGARCH This paper investigates the effect of market characteristics and global financial crises on the credit spreads in the primary issue bond and bank...
