Nam, Kiseok - In: Studies in Nonlinear Dynamics & Econometrics 6 (2003) 4
Using asymmetric nonlinear smooth-transition GARCH(M) models for the period of 1926:01 - 1997:12, this paper shows that monthly excess returns on value-weighted market indexes exhibit a strong asymmetric reverting pattern; a negative return reverts more quickly, with a greater reverting...