SIGN- AND VOLATILITY-SWITCHING ARCH MODELS: THEORY AND APPLICATIONS TO INTERNATIONAL STOCK MARKETS

• 1 January 1997
• journal article
• research article
• Published by Wiley in Journal of Applied Econometrics
• Vol. 12  (1) , 49-65
• https://doi.org/10.1002/(sici)1099-1255(199701)12:1<49::aid-jae422>3.0.co;2-6

Abstract

Keywords

• MODELS
• VOLATILITY
• STOCK MARKETS
• ARCH
• SIGN
• ASYMMETRIC REACTION
• HETEROSCEDASTIC