Modelling asymmetry and persistence under the impact of sudden changes in the volatility of the (Record no. 11529)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 01082npc a2200169Ia 4500 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 140613s2012 xx 000 0 und d |
| 060 ## - NATIONAL LIBRARY OF MEDICINE CALL NUMBER | |
| Classification number | 332.6322 |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | KUMAR, DILIP |
| 245 ## - TITLE STATEMENT | |
| Title | Modelling asymmetry and persistence under the impact of sudden changes in the volatility of the |
| Remainder of title | Indian stock market |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
| Date of publication, distribution, etc. | 2012 |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 123-136 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | In this paper, we compare the performance of Inclan and Tiao's(IT) (1994) and Sanso, Arago and Carrion's (AIT) (2004) iterated cumulative sums of squares (ICSS) algorithms by means of Monte Carlo simulation experiments for various data-generatingprocesses with conditional and unconditional variance. In addition, we investigate the impact of regime shifts on the asymmetry and persistence of volatility form the vantage point of modelling volatility in general and particular, in assessing the forecasting ability of the GARCH class of models in he context of the Indian market. |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | STOCK MARKET |
| 700 ## - ADDED ENTRY--PERSONAL NAME | |
| Personal name | MAHESWARAN, S |
| 773 ## - HOST ITEM ENTRY | |
| Other item identifier | P14591 |
| Note | M |
| Host Itemnumber | 27802 |
| Host Biblionumber | 11182 |
| Title | MANAGEMENT REVIEW |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Dewey Decimal Classification |
| Koha item type | Articles |
No items available.