A re-examination of the asymmetric power ARCH model

Journal of Empirical Finance

Volumn 13, Issue 1, 2006, Pages 113-128

  Karanasos, Menelaos ^a   Kim, Jinki ^b  

^a BRUNEL UNIVERSITY   (United Kingdom)

^b Gangwon Development Research Institute   (South Korea)

Author keywords

Asymmetric power ARCH; Autocorrelations; Power transformation; Stock returns

Indexed keywords

EID: 30344460565     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2005.05.002     Document Type: Article

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