Sign - and volatility - switching arch models: theory and applications to international stock markets
Mele, A. & Fornari, F.
(1997).
Sign - and volatility - switching arch models: theory and applications to international stock markets.
Journal of Applied Econometrics,
12(1), 49-65.
https://doi.org/10.1002/(SICI)1099-1255(199701)12:1<49::AID-JAE422>3.0.CO;2-6
| Item Type | Article |
|---|---|
| Copyright holders | © 1997 John Wiley & Sons, Ltd. |
| Departments |
LSE > Research Centres > Financial Markets Group LSE > Research Centres > STICERD |
| DOI | 10.1002/(SICI)1099-1255(199701)12:1<49::AID-JAE422>3.0.CO;2-6 |
| Date Deposited | 18 Jul 2008 |
| URI | https://researchonline.lse.ac.uk/id/eprint/19598 |
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