Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model.
Fredj JawadiWaël LouhichiAbdoulkarim Idi CheffouHachmi Ben AmeurPublished in: Ann. Oper. Res. (2019)
Keyphrases
- stock market
- garch model
- stock index
- short term
- trading rules
- stock exchange
- stock price
- stock data
- financial time series
- stock index futures
- financial data
- financial markets
- chinese stock market
- stock trading
- multivariate time series
- sar images
- long term
- portfolio optimization
- probability distribution
- stock returns
- feature selection