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Phan Khoa Cuong,Tran Thi Bich Ngoc,Bui Thanh Cong,Vo Thi Quynh Chau DOI: 10.26459/hueuni-jed.v128i5C.5083
Pág. 5?16
Abstract: This paper investigates the existence of noise trader risk in Vietnam?s stock market and its effect on the daily returns of stock prices. The methodologies contain the estimation of GARCH (1,1) model to filter the residuals using the moving ave...
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