Re-examining the asymmetric predictability of conditional variances: The role of sudden changes in variance

Journal of Banking and Finance

Volumn 29, Issue 10, 2005, Pages 2655-2673

  Ewing, Bradley T ^a   Malik, Farooq ^b  

^a TEXAS TECH UNIVERSITY   (United States)

^b PENNSYLVANIA STATE UNIVERSITY   (United States)

Author keywords

Bivariate GARCH; Capitalization; ICSS algorithm; Volatility

Indexed keywords

EID: 23844482812     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2004.10.002     Document Type: Article

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