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Modeling the changing asymmetry of conditional variances

✍ Scribed by Fabio Fornari; Antonio Mele


Book ID
116102209
Publisher
Elsevier Science
Year
1996
Tongue
English
Weight
360 KB
Volume
50
Category
Article
ISSN
0165-1765

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## Abstract We propose a nonlinear time series model where both the conditional mean and the conditional variance are asymmetric functions of past information. The model is particularly useful for analysing financial time series where it has been noted that there is an asymmetric impact of good new