Daal, Elton; Naka, Atsuyuki; Yu, Jung-Suk - Department of Economics and Finance, College of … - 2006
This paper proposes asymmetric GARCH-Jump models that synthesize autoregressive jump intensities and volatility feedback in the jump component. Our results indicate that these models provide a better fit for the dynamics of the equity returns in the US and emerging Asian markets, irrespective...