Modeling the changing asymmetry of conditional variances

Economics Letters

Volumn 50, Issue 2, 1996, Pages 197-203

  Fornari, Fabio ^a   Mele, Antonio ^b  

^a BANK OF ITALY   (Italy)

^b UNIVERSITÉ PARIS OUEST NANTERRE LA DÉFENSE   (France)

Author keywords

Asymmetric variance; Conditional heteroskedasticity

Indexed keywords

EID: 0030078510     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/0165-1765(95)00736-9     Document Type: Article

References (11)

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