Chen, Cathy W. S.; Gerlach, Richard H.; Lin, Ann M. H. - In: Quantitative Finance 11 (2011) 9, pp. 1421-1438
A multiple-regime threshold generalized autoregressive conditionally heteroskedastic capital asset pricing model is introduced. The model captures asymmetric risk through allowing market beta to change discretely between regimes that are driven by market information. Asymmetric volatility and...