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Stock market dynamics in a regime-switching asymmetric power GARCH model · Study

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ArticleStock market dynamics in a regime-switching asymmetric power GARCH model

Thierry Ané2005

Article2005

Stock market dynamics in a regime-switching asymmetric power GARCH model

Thierry Ané · Loredana Ureche‐Rangau

27 citations·0/0 files stored·International Review of Financial Analysis

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Market Dynamics and Volatility

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*1970Efficient Capital Markets: A Review of Theory and Empirical Work 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1965The Behavior of Stock-Market Prices 1995Size and Book-to-Market Factors in Earnings and Returns

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Year2005

Typearticle

Published2005-11-18

VenueInternational Review of Financial Analysis

ISSN-L1057-5219

Languageen

Citations27

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.irfa.2005.08.002

openalex_workW2073722980

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