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Threshold models in time series analysis : some reflections

Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491

Persistent link: https://www.econbiz.de/10011504634

The correct regularity condition and interpretation of asymmetry in EGARCH

Chang, Chia-Lin; McAleer, Michael - 2017

effects on conditional volatility of positive and negative effects of equal magnitude, and possibly also leverage, which is …) showed that asymmetry was possible for GJR, but not leverage. McAleer and Hafner showed that leverage was not possible for … is shown that, in practice, EGARCH always displays asymmetry, though not leverage. …

Persistent link: https://www.econbiz.de/10011688332

The correct regularity condition and interpretation of asymmetry in EGARCH

Chang, Chia-Lin; McAleer, Michael - In: Economics letters 161 (2017), pp. 52-55

Persistent link: https://www.econbiz.de/10011903867

Are there return and volatility spillovers from major bank stocks to the national stock market in the UK?

Dontis-Charitos, Panagiotis; Gough, Orla; Nowman, Kalid Ben - In: Global banking, financial markets and crises, (pp. 243-268). 2013

Persistent link: https://www.econbiz.de/10010231076

Stock returns and risk : evidence from quantile

Chiang, Thomas C.; Li, Jiandong - In: Journal of risk and financial management : JRFM 5 (2012) 1, pp. 20-58

This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four major stock indexes in the US market and finds some evidence in favor of a positive relation between the mean of the excess returns and expected risk. However, by using...

Persistent link: https://www.econbiz.de/10011555867