Tobin Tax and Volatility: A Threshold Quantile Autoregressive Regression Framework
Author:
Affiliation:
1. Bureau d'Economie Théorique et Appliquée, BETA-CNRS; Faculté de Droit et des Sciences Economiques; Nancy France
2. Department of Economics; Dankook University; Republic of Korea
Funder
Ministry of Education of the Republic of Korea and the National Research Foundation of Korea
BETA-CNRS
ERUDITE
Publisher
Wiley
Subject
Development,Geography, Planning and Development
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/roie.12193/fullpdf
Reference69 articles.
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3. Deutsche Mark Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies;Andersen;Journal of Finance,1998b
4. The Distribution of Realized Stock Return Volatility;Andersen;Journal of Financial Economics,2001
5. Modeling and Forecasting Realized Volatility;Andersen;Econometrica,2003
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