A re-examination of the asymmetric power ARCH model
作者： Menelaos Karanasos , Jinki Kim
DOI: 10.1016/J.JEMPFIN.2005.05.002
关键词: Power (physics) 、 Economics 、 Absolute return 、 Moment (mathematics) 、 Arch 、 Autocorrelation 、 Transformation (function) 、 Stock market index 、 Econometrics 、 Conditional variance
摘要: … /Schwert (Bollerslev) model cannot be rejected against the power ARCH model for the SE (… model over the power ARCH model. Further, the AIC chooses the power ARCH model …
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