Modeling the changing asymmetry of conditional variances

DOI10.1016/0165-1765(95)00736-9zbMath0875.90174OpenAlexW2044762510MaRDI QIDQ1351734

Fabio Fornari, Antonio Mele

Publication date: 27 February 1997

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(95)00736-9

zbMATH Keywords

Asymmetric varianceConditional heteroskedasticity

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (3)

A modified GARCH model with spells of shocks ⋮ The continuous-time limit of score-driven volatility models ⋮ A new estimator method for GARCH models

Cites Work

• ARCH modeling in finance. A review of the theory and empirical evidence
• Generalized autoregressive conditional heteroscedasticity
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Threshold heteroskedastic models

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