Asymmetric mean-reversion and contrarian profits: ANST-GARCH approach

Journal of Empirical Finance

Volumn 9, Issue 5, 2002, Pages 563-588

  Nam, Kiseok ^a   Pyun, Chong Soo ^b   Arize, Augustine C ^c  

^a UNIVERSITY OF TEXAS PAN AMERICAN   (United States)

^b UNIVERSITY OF MEMPHIS   (United States)

^c TEXAS A AND M UNIVERSITY COMMERCE   (United States)

Author keywords

Asymmetric GARCH model; Asymmetric mean reverting; Contrarian portfolio strategy; Stock market overreaction

Indexed keywords

EID: 0036888004     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(02)00011-7     Document Type: Article

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