Dynamic asymmetric GARCH

Journal of Financial Econometrics

Volumn 4, Issue 3, 2006, Pages 385-412

  Caporin, Massimiliano ^a   McAleer, Michael ^b  

^a UNIVERSITY OF PADOVA   (Italy)

^b UNIVERSITY OF WESTERN AUSTRALIA   (Australia)

Author keywords

Asymmetric volatility; DAGARCH; Stationarity conditions; Threshold GARCH

Indexed keywords

EID: 33748099189     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbj011     Document Type: Article

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