A nonlinear time series approach to modelling asymmetry in stock market indexes

DOI10.1007/BF02511487zbMath1145.91391MaRDI QIDQ1766973

Giuseppe Storti, Alessandra Amendola

Publication date: 3 March 2005

Published in: Statistical Methods and Applications (Search for Journal in Brave)

zbMATH Keywords

TAREM algorithmleverage effectconstrained changing parameters volatility model

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

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