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

Chin Wen Cheong2006

Article2006

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

Chin Wen Cheong · Abu Hassan Shaari Mohd Nor · Zaidi Isa

53 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 2012The Econometrics of Financial Markets 1997The Econometrics of Financial Markets 1993Measuring and Testing the Impact of News on Volatility 1996A test for independence based on the correlation dimension 1993A long memory property of stock market returns and a new model 1996Statistics for Long-Memory Processes.

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2009Modeling sudden volatility changes: Evidence from Japanese and Korean stock markets 2008Sectoral efficiency of the Malaysian stock market and the impact of the Asian financial crisis 2011How Asian and Global Economic crises Prevail in Chinese IPO and Stock Market Efficiency 2008Heavy-tailed value-at-risk analysis for Malaysian stock exchange 2011Family Ownership, Firm’s Financial Characteristics and Capital Structure: Evidence from Public Listed Companies in Malaysia

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2009Practical Issues in the Analysis of Univariate GARCH Modelschapter · 12 shared references 2005Volatility Forecastingreport · 12 shared references 2009Long memory volatility in Chinese stock marketsarticle · 12 shared references 2006Chapter 15 Volatility and Correlation Forecastingchapter · 11 shared references 2006VOLATILITY AND CORRELATION FORECASTINGarticle · 10 shared references 2010Modelling Nonlinear Economic Time Seriesbook · 9 shared references

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Year2006

Typearticle

Published2006-06-29

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations53

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.physa.2006.05.050

openalex_workW2143338348

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