A new GARCH model with higher moments for stock return predictability

Narayan, Paresh Kumar and Liu, Ruipeng 2018, A new GARCH model with higher moments for stock return predictability, Journal of international financial markets, institutions and money, vol. 56, pp. 93-103, doi: 10.1016/j.intfin.2018.02.016.

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Title A new GARCH model with higher moments for stock return predictability
Author(s) Narayan, Paresh Kumar
Liu, RuipengORCID iD for Liu, Ruipeng orcid.org/0000-0003-4174-6135
Journal name Journal of international financial markets, institutions and money
Volume number 56
Start page 93
End page 103
Total pages 11
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2018-09
ISSN 1042-4431
Keyword(s) GARCH
Predictive regression
Higher order moments
Data frequencies
Language eng
DOI 10.1016/j.intfin.2018.02.016
Field of Research 1502 Banking, Finance And Investment
1402 Applied Economics
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2018, Elsevier B.V.
Persistent URL http://hdl.handle.net/10536/DRO/DU:30107477

Document type: Journal Article
Collections: Deakin Graduate School of Business
Department of Finance
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