Sign - and volatility - switching arch models: theory and applications to international stock markets

Mele, Antonio; and Fornari, Fabio (1997) Sign - and volatility - switching arch models: theory and applications to international stock markets Journal of Applied Econometrics, 12 (1). pp. 49-65. ISSN 1099-1255

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Item Type	Article
Departments	Financial Markets Group STICERD
DOI	10.1002/(SICI)1099-1255(199701)12:1<49::AID-JAE422>3.0.CO;2-6
Date Deposited	18 Jul 2008 09:59
URI	https://researchonline.lse.ac.uk/id/eprint/19598

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Mele, Antonio
Fornari, Fabio

HB Economic Theory

http://www3.interscience.wiley.com/journal/4079/ho... (Official URL)

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