A new approach to bad news effects on volatility: the multiple-sign-volume sensitive regime EGARCH model (MSV-EGARCH)

José Dias Curto, João Tomaz and José Castro Pinto

Portuguese Economic Journal, 2009, vol. 8, issue 1, 23-36

Keywords: Conditional heteroskedasticity; Multiple regimes; Trading volume; Estimation; Forecasting; C22; C51; C54; G15 (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/s10258-009-0037-9

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