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Export Reference (APA) 
Curto, J. D., Tomás, J. A. & Pinto, J. C. (2009). A new approach to bad news effects on volatility: the Multiple-Sign-Volume sensitive regime EGARCH model (MSV-EGARCH). Portuguese Economic Journal. 8 (1), 23-36
Export Reference (IEEE) 
J. J. Curto et al.,  "A new approach to bad news effects on volatility: the Multiple-Sign-Volume sensitive regime EGARCH model (MSV-EGARCH)", in Portuguese Economic Journal, vol. 8, no. 1, pp. 23-36, 2009
Export BibTeX 
@article{curto2009_1765601345914,
	author = "Curto, J. D. and Tomás, J. A. and Pinto, J. C.",
	title = "A new approach to bad news effects on volatility: the Multiple-Sign-Volume sensitive regime EGARCH model (MSV-EGARCH)",
	journal = "Portuguese Economic Journal",
	year = "2009",
	volume = "8",
	number = "1",
	doi = "10.1007/s10258-009-0037-9",
	pages = "23-36",
	url = "http://link.springer.com/article/10.1007%2Fs10258-009-0037-9"
}
Export RIS 
TY  - JOUR
TI  - A new approach to bad news effects on volatility: the Multiple-Sign-Volume sensitive regime EGARCH model (MSV-EGARCH)
T2  - Portuguese Economic Journal
VL  - 8
IS  - 1
AU  - Curto, J. D.
AU  - Tomás, J. A.
AU  - Pinto, J. C.
PY  - 2009
SP  - 23-36
SN  - 1617-982X
DO  - 10.1007/s10258-009-0037-9
UR  - http://link.springer.com/article/10.1007%2Fs10258-009-0037-9
AB  - In this paper, using daily data for six major international stock market indexes and a modified EGARCH specification, the links between stock market returns, volatility and trading volume are investigated in a new nonlinear conditional variance framework with multiple regimes and volume effects. Volatility forecast comparisons, using the Harvey-Newbold test for multiple forecasts encompassing, seem to demonstrate that the MSV-EGARCH complex threshold structure is able to correctly fit GARCH-type dynamics of the series under study and dominates competing standard asymmetric models in several of the considered stock indexes.
ER  -