Author/Authors
Fornari، نويسنده , , Fabio; Mele، نويسنده , , Antonio ، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1996
Pages
7
From page
197
To page
203
Abstract
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.
Keywords
Asymmetric variance , Conditional heteroskedasticity
Journal title
Economics Letters
Serial Year
1996
Journal title
Economics Letters
Record number
434052
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