Stock market dynamics in a regime-switching asymmetric power GARCH model

International Review of Financial Analysis

Volumn 15, Issue 2, 2006, Pages 109-129

  Ané, Thierry ^a,b   Ureche Rangau, Loredana ^b  

^a UNIVERSITÉ DE REIMS CHAMPAGNE ARDENNE   (France)

^b IESEG SCHOOL OF MANAGEMENT   (France)

Author keywords

Power GARCH; Regime switching; Stock market; Volatility

Indexed keywords

EID: 33645921359     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.irfa.2005.08.002     Document Type: Article

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