Asymmetries in Volatility: An Empirical Study for the Peruvian Stock and Forex Markets

Volume: 22, Issue: 01, Pages: 1950003
Published: Apr 3, 2019
Abstract
Asymmetric autoregressive conditional heteroskedasticity (EGARCH) models and asymmetric stochastic volatility (ASV) models are applied to daily data of Peruvian stock and Forex markets for the...
Paper Details
Title
Asymmetries in Volatility: An Empirical Study for the Peruvian Stock and Forex Markets
Published Date
Apr 3, 2019
Volume
22
Issue
01
Pages
1950003
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