Parcourir par sujet "CONDITIONAL HETEROSKEDASTICITY"
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Terrorism and capital markets: The effects of the Madrid and London bomb attacks
(2011)Using event study methodology and GARCH family models, the paper investigates the effects of two terrorist incidents - the bomb attacks of 11th March 2004 in Madrid and 7th July 2005 in London - on equity sectors. Significant ... -
Yield spreads and real economic activity in East European transition economies
(2009)Recent research in developed countries provides evidence for the significant role of the yield spread on real economic activity. Using k-months industrial production growth rate model, this article attempts to ascertain ...