Sökning: "EGARCH-M"

Hittade 1 uppsats innehållade ordet EGARCH-M.

  1. 1. Risky Relations - A study of the relationship between expected stock returns and volatility on the international market

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Alexandra Cabak; Sara Bergmark; [2010]
    Nyckelord :Expected stock return; volatility; GARCH-M; PARCH-M; EGARCH-M; Business and Economics;

    Sammanfattning : This econometric study examines the relationship between expected returns and volatility in ten industrialized countries. It includes three models; GARCH-M, EGARCH-M and the PARCH-M model. LÄS MER