Performance comparison of alternative volatility models applied to economic indexes: the role of asymmetric effects

IF 1.8 3区经济学 Q2 ECONOMICS

Applied Economics Pub Date : 2024-08-28 DOI:10.1080/00036846.2024.2393460

Mário Correia Fernandes, Tiago Mota Dutra, João C.A. Teixeira, Inês Silvestre

引用次数: 0

Abstract

This article examines the empirical relationship between economic indexes – namely the industrial production and the consumer confidence – and their volatility by using the United States data over ...

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适用于经济指数的其他波动率模型的性能比较：非对称效应的作用

本文通过使用美国过去几年的数据，研究了经济指数（即工业生产和消费者信心指数）及其波动性之间的经验关系。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Applied Economics ECONOMICS-

CiteScore

3.80

自引率

4.50%

发文量

525

期刊介绍： Applied Economics is a peer-reviewed journal encouraging the application of economic analysis to specific problems in both the public and private sectors. It particularly fosters quantitative studies, the results of which are of use in the practical field, and thus helps to bring economic theory nearer to reality. Contributions which make use of the methods of mathematics, statistics and operations research will be welcomed, provided the conclusions are factual and properly explained.