A non-linear time series approach to modelling asymmetry in stock market indexes-Reference-Cited by-同舟云学术

A non-linear time series approach to modelling asymmetry in stock market indexes

Published:2002-06 Issue:2 Volume:11 Page:201-216
ISSN:1618-2510
Container-title:Statistical Methods & Applications
language:en
Short-container-title:Statistical Methods & Applications

Author:

Amendola Alessandra,Storti Giuseppe

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

http://link.springer.com/content/pdf/10.1007/BF02511487.pdf

Reference24 articles.

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2. Bollerslev T (1986) Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics31 307–327

3. Bollerslev T, Engle RF, Nelson DB (1994) ARCH models. In: Handbook of Econometrics (Engle RF, McFadden D (eds.)4 North-Holland, Amsterdam

4. Brannas K, De Gooijer G (2000) Asymmetries in conditional mean and variance: modelling stock returns by as-MA-asQGARCH. Umea Economic Studies, n. 535

5. Engle RF (1982) Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom Inflation. Econometrica50 987–1007

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