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Physica A: Statistical Mechanics and its Applications

Volumn 382, Issue 1, 2007, Pages 73-80

Asymmetric conditional volatility in international stock markets

(3) Ferreira, Nuno B a Menezes, Rui a Mendes, Diana A a

a UNIVERSITY INSTITUTE OF LISBON (Portugal)

Author keywords

Asymmetric conditional volatility; Stock market returns; Threshold adjustment; Vector autoregression

Indexed keywords

INTERNATIONAL TRADE; INVENTORY CONTROL; REGRESSION ANALYSIS;

CONDITIONAL VOLATILITY; STOCK MARKET; THRESHOLD ADJUSTMENT; VECTOR AUTOREGRESSION;

FINANCE;

EID: 34249813383 PISSN: 03784371 EISSN: None Source Type: Journal
DOI: 10.1016/j.physa.2007.02.010 Document Type: Article

Times cited : (9)

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