A Non-linear Time Series Aproach to Modelling Asymmetry in Stock Market Indexes
نویسندگان
چکیده
In this paper we propose an approach to modelling non-linear conditionally heteroscedastic time series characterised by asymmetries in both the conditional mean and variance. This is achieved by combining a TAR model for the conditional mean with a Changing Parameters Volatility (CPV) model for the conditional variance. Empirical results are given for the daily returns of the S&P 500, NASDAQ composite and FTSE 100 stock market indexes.
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تاریخ انتشار 2000