Modeling the changing asymmetry of conditional variances

被引：16
|
作者：
Fornari, F [1 ]
Mele, A [1 ]
机构：
[1] UNIV PARIS 10,F-92001 NANTERRE,FRANCE
来源：
ECONOMICS LETTERS | 1996年 / 50卷 / 02期
关键词：
asymmetric variance; conditional heteroskedasticity;
D O I：
10.1016/0165-1765(95)00736-9
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
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页码：197 / 203
页数：7
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