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A new approach to bad news effects on volatility: the multiple-sign-volume sens...
Curto, José Dias; Tomaz, João Amaral; Pinto, José CastroWOS:000264496200004 (Nº de Acesso Web of Science) ; In this paper, using daily data for six major international stock market indexes and a modified EGARCH specification, the links between stock market returns, volatility and trading volume are investigated in a new nonlinear conditional variance framework with multiple regimes and volume effects. Volatility forecast comparisons, using the Harvey-Newbold test f...
Data: 2009
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Origem: Repositório do ISCTE-IUL
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