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Modeling the changing asymmetry of conditional variances

  • Fornari, Fabio
  • Mele, Antonio

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File URL: http://www.sciencedirect.com/science/article/B6V84-3VW1DMM-9/2/eed72c335c47d096555d94354bff0c2f
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 50 (1996)
Issue (Month): 2 (February)
Pages: 197-203

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Handle: RePEc:eee:ecolet:v:50:y:1996:i:2:p:197-203
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  2. Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-78, December.
  3. Zakoian, Jean-Michel, 1994. "Threshold heteroskedastic models," Journal of Economic Dynamics and Control, Elsevier, vol. 18(5), pages 931-955, September.
  4. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
  5. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June.
  6. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
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