On the quantile regression based tests for asymmetry in stock return volatility

Asian Economic Journal

Volumn 16, Issue 2, 2002, Pages 175-191

  Park, Beum Jo ^a  

^a Dankook University   (South Korea)

Author keywords

GARCH; GJR and EGARCH models; Non normality; Quantile regression based tests; Testing asymmetry in stock return volatility

Indexed keywords

FINANCIAL MARKET; MARKET CONDITIONS; STOCK MARKET;

EID: 0036328897     PISSN: 13513958     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-8381.00147     Document Type: Article

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