Brännäs, Kurt; Gooijer, Jan G. de - Institutionen för Nationalekonomi, Umeå Universitet - 2000
The asymmetric moving average model (asMA) is extended to allow for asymmetric quadratic conditional heteroskedasticity (asQGARCH). The asymmetric parametrization of the conditional variance encompasses the quadratic GARCH model of Sentana (1995). We introduce a framework for testing asymmetries...
