Asymmetry and long-memory volatility: Some empirical evidence using GARCH

Physica A: Statistical Mechanics and its Applications

Volumn 373, Issue , 2007, Pages 651-664

  Wen Cheong, Chin ^a   Hassan Shaari Mohd Nor, Abu ^b   Isa, Zaidi ^b  

^a MULTIMEDIA UNIVERSITY   (Malaysia)

^b UNIVERSITI KEBANGSAAN MALAYSIA   (Malaysia)

Author keywords

BDS test; Fractal; GARCH; Market efficiency; Non linearity; Sign and size bias test; Volatility

Indexed keywords

COMPUTER SIMULATION; COSTS; ECONOMIC AND SOCIAL EFFECTS; FRACTALS; MARKETING; MATHEMATICAL MODELS;

BDS TESTS; GARCH MODELS; MARKET EFFICIENCY; VOLATILITY;

INVENTORY CONTROL;

EID: 33750472990     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2006.05.050     Document Type: Article

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