The Asymmetric Reverting Property of Stock Returns

DOI10.2202/1558-3708.1109zbMATH Open1080.91522OpenAlexW1521812296MaRDI QIDQ3368302

Kiseok Nam

Publication date: 27 January 2006

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1558-3708.1109

zbMATH Keywords

risk-return relationshipasymmetric nonlinear GARCH modelasymmetric reverting pattern

Mathematics Subject Classification ID

Related Items (4)

Asymmetries and tails in stock index returns: are their distributions really asymmetric? ⋮ The market nanostructure origin of asset price time reversal asymmetry ⋮ Mean Reversion in Stock Prices: Implications from a Production Based Asset Pricing Model ⋮ Reversal of Monday returns

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