Search Results - subject:"conditional asymmetry"

Conditional asymmetry in ARCH models

Royer, Julien - 2020

Persistent link: https://www.econbiz.de/10012429896

Conditional return asymmetries in the sovereign-bank nexus

Gálvez, Julio; Mencía, Javier - 2018

Persistent link: https://www.econbiz.de/10012018554

Integration of ASEAN banking sector stocks

Mensah, Jones Odei; Premaratne, Gamini - In: Journal of Asian economics 59 (2018), pp. 48-60

Persistent link: https://www.econbiz.de/10012102895

A GARCH model with autorregresive conditional asymmetry to model time-series: An application to the returns of the Mexican stock market index

Duran-Vazquez, Rocio; Lorenzo-Valdes, Arturo; … - Volkswirtschaftliche Fakultät, … - 2013

We develop a GARCH model with autoregressive conditional asymmetry to describe time-series. This means that, in …

Persistent link: https://www.econbiz.de/10011109096

A GARCH model with autorregresive conditional asymmetry to model time-series: An application to the returns of the Mexican Stock Market Index

Durán-Vázquez, Rocio; Lorenzo-Valdes, Arturo; … - Volkswirtschaftliche Fakultät, … - 2012

We develop a GARCH model with autoregressive conditional asymmetry to describe time-series. This means that, in …

Persistent link: https://www.econbiz.de/10011107249

Risk-management criteria in the Latin-American stock markets : an assessment with a TGARCH model with a skewed normal distribution and autoregressive conditional asymmetry

Lorenzo-Valdés, Arturo; Ruíz-Porras, Antonio - In: International journal of computational economics and … 5 (2015) 4, pp. 430-450

Persistent link: https://www.econbiz.de/10011440889

Testing conditional asymmetry : a residual-based approach

Lambert, Philippe; Laurent, Sébastien; Veredas, David - In: Journal of economic dynamics & control 36 (2012) 8, pp. 1229-1247

Persistent link: https://www.econbiz.de/10009655696

Selectivity and timing performance of UK investment trusts

Bangassa, Kenbata; Su, Chen; Joseph, Nathan Lael - In: Journal of international financial markets, … 22 (2012) 5, pp. 1149-1175

Persistent link: https://www.econbiz.de/10010220189

Selectivity and timing performance of UK investment trusts

Bangassa, Kenbata; Su, Chen; Joseph, Nathan L. - In: Journal of International Financial Markets, … 22 (2012) 5, pp. 1149-1175

This study examines the selectivity and timing performance of 218 UK investment trusts over the period July 1981 to June 2009. We estimate the Treynor and Mazuy (1966) and Henriksson and Merton (1981) models augmented with the size, value, and momentum factors, either under the OLS method...

Persistent link: https://www.econbiz.de/10010588047

Testing conditional asymmetry: A residual-based approach

Lambert, Philippe; Laurent, Sébastien; Veredas, David - In: Journal of Economic Dynamics and Control 36 (2012) 8, pp. 1229-1247

We propose three residual-based tests for conditional asymmetry. The distribution is assumed to fall into the class of … the innovations and, in a second step, tests for conditional asymmetry are performed on generalized residuals through …

Persistent link: https://www.econbiz.de/10011051952