Long-term dependence with asymmetric conditional heteroscedasticity in stock returns
Year of publication: |
2005
|
---|---|
Authors: | Chen, Cathy W.S. ; Yu, Tiffany H.K. |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 353.2005, C, p. 413-424
|
Publisher: |
Elsevier |
Subject: | Fractional integration | Asymmetries in volatility | Threshold GARCH | MCMC method | Stock returns |
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