Gooijer, Jan G. De; Brännäs, Kurt - In: Journal of Forecasting 23 (2004) 3, pp. 155-171
We propose a nonlinear time series model where both the conditional mean and the conditional variance are asymmetric functions of past information. The model is particularly useful for analysing financial time series where it has been noted that there is an asymmetric impact of good news and bad...