KIANI, Khurshid M. - In: International Journal of Applied Econometrics and … 4 (2007) 2, pp. 99-120
In this study we employ augmented and switching time series models to find possible existence of business cycle asymmetries in U.S. stock returns. Our approach is fully parametric and testing strategy is robust to any conditional heteroskedasticity, and outliers that may be present. We also...