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Asymmetric mean-reversion and contrarian profits: ANST-GARCH approach

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  • Nam, Kiseok
  • Pyun, Chong Soo
  • Arize, Augustine C.

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  • Nam, Kiseok & Pyun, Chong Soo & Arize, Augustine C., 2002. "Asymmetric mean-reversion and contrarian profits: ANST-GARCH approach," Journal of Empirical Finance, Elsevier, vol. 9(5), pages 563-588, December.
    • Handle: RePEc:eee:empfin:v:9:y:2002:i:5:p:563-588
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    2. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, Department of Economics and Business Economics, Aarhus University.
    3. Rombouts, Jeroen & Stentoft, Lars & Violante, Franceso, 2014. "The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options," International Journal of Forecasting, Elsevier, vol. 30(1), pages 78-98.
    4. Yarovaya, Larisa & Matkovskyy, Roman & Jalan, Akanksha, 2022. "The COVID-19 black swan crisis: Reaction and recovery of various financial markets," Research in International Business and Finance, Elsevier, vol. 59(C).
    5. Melike Bildirici & Işıl Şahin Onat & Özgür Ömer Ersin, 2023. "Forecasting BDI Sea Freight Shipment Cost, VIX Investor Sentiment and MSCI Global Stock Market Indicator Indices: LSTAR-GARCH and LSTAR-APGARCH Models," Mathematics, MDPI, vol. 11(5), pages 1-27, March.
    6. Arize, Augustine C. & Malindretos, John & Igwe, Emmanuel U., 2017. "Do exchange rate changes improve the trade balance: An asymmetric nonlinear cointegration approach," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 313-326.
    7. Hsiang-Hsi Liu & Pi-Hsia Hung & Po-Hung Luo Cho, 2021. "Nonlinear Interactions and Volatility Spillovers between Stock and Foreign Exchange Markets: The STVEC-STGARCH-DCC Approach," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 11(4), pages 1-3.
    8. Saupi, Nabil & Masih, Mansur, 2018. "Lead-lag between exchange rates and trade balance: Malaysian evidence," MPRA Paper 109874, University Library of Munich, Germany.
    9. Arize, Augustine C. & Malindretos, John, 2012. "Nonstationarity and nonlinearity in inflation rate: Some further evidence," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 224-234.
    10. Nam, Kiseok & Washer, Kenneth M. & Chu, Quentin C., 2005. "Asymmetric return dynamics and technical trading strategies," Journal of Banking & Finance, Elsevier, vol. 29(2), pages 391-418, February.
    11. Karim, Muhammad Mahmudul & Ali, Md Hakim & Yarovaya, Larisa & Uddin, Md Hamid & Hammoudeh, Shawkat, 2023. "Return-volatility relationships in cryptocurrency markets: Evidence from asymmetric quantiles and non-linear ARDL approach," International Review of Financial Analysis, Elsevier, vol. 90(C).
    12. Lee, Chien-Chiang & Lee, Cheng-Feng & Lee, Chi-Chuan, 2014. "Asymmetric dynamics in REIT prices: Further evidence based on quantile regression analysis," Economic Modelling, Elsevier, vol. 42(C), pages 29-37.
    13. Hayet Ben Haj Hamida & Francesco Scalera, 2019. "Threshold Mean Reversion and Regime Changes of Cryptocurrencies using SETAR-MSGARCH Models," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 9(3), pages 221-229, July.
    14. Kwang-il Choe & Joshua Krausz & Kiseok Nam, 2011. "Technical trading rules for nonlinear dynamics of stock returns: evidence from the G-7 stock markets," Review of Quantitative Finance and Accounting, Springer, vol. 36(3), pages 323-353, April.
    15. Kulp-Tåg, Sofie, 2007. "Short-Horizon Asymmetric Mean-Reversion and Overreactions: Evidence from the Nordic Stock Markets," Working Papers 524, Hanken School of Economics.
    16. Bildirici, Melike & Ersin, Özgür, 2012. "Nonlinear volatility models in economics: smooth transition and neural network augmented GARCH, APGARCH, FIGARCH and FIAPGARCH models," MPRA Paper 40330, University Library of Munich, Germany, revised May 2012.
    17. Philippe Charlot & Vêlayoudom Marimoutou, 2008. "Hierarchical hidden Markov structure for dynamic correlations: the hierarchical RSDC model," Working Papers halshs-00285866, HAL.
    18. Zhang, Bing & Zhou, Yun, 2015. "Asymmetries in stock marketsAuthor-Name: Wang, Peijie," European Journal of Operational Research, Elsevier, vol. 241(3), pages 749-762.
    19. Degiannakis, Stavros & Xekalaki, Evdokia, 2004. "Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review," MPRA Paper 80487, University Library of Munich, Germany.
    20. Corbet, Shaen & Katsiampa, Paraskevi, 2020. "Asymmetric mean reversion of Bitcoin price returns," International Review of Financial Analysis, Elsevier, vol. 71(C).

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