Fornari، نويسنده , , Fabio; Mele، نويسنده , , Antonio ، نويسنده ,

روزنامه با شماره پیاپی سال 1996

7

197

203

We analyze the asymmetric response of the volatility to the arrival of shocks of opposite sign. After revising the major formulations developed so far to capture the phenomenon, a more general model is proposed; it cannot be rejected against three competing specifications when fitted to stock exchange indices returns.

Asymmetric variance , Conditional heteroskedasticity

Economics Letters

1996

Economics Letters

434052