Work

Modelling Asymmetry in Stock Returns by a Threshold Autoregressive Conditional Heteroscedastic Model

Year: 1995

Type: article

Source: Journal of the Royal Statistical Society Series D (The Statistician)

DOI: 10.2307/2348704

Authors: W. K. Li, K. Lam

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W4241148930

FWCI: 0.831

Cites:

Cited by: 54

Related to: 10