Asymmetric index stock returns: evidence from the G-7
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DOI: 10.1080/135048599352240
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Cited by:
- Kurt Brannas & Albina Soultanaeva, 2011. "Influence of news from Moscow and New York on returns and risks of Baltic States’ stock markets," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 11(1), pages 109-124, July.
- Yung-Shi Liau & Jack Yang, 2008. "The mean/volatility asymmetry in Asian stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 18(5), pages 411-419.
- Jan G. Gooijer, 2021. "Asymmetric vector moving average models: estimation and testing," Computational Statistics, Springer, vol. 36(2), pages 1437-1460, June.
- Jan G. De Gooijer & Kurt Brännäs, 2004.
"Asymmetries in conditional mean and variance: modelling stock returns by asMA-asQGARCH,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(3), pages 155-171.
- Kurt Brännäs & Jan G. de Gooijer, 2000. "Asymmetries in Conditional Mean and Variance: Modelling Stock Returns by asMA-asQGARCH," Tinbergen Institute Discussion Papers 00-049/4, Tinbergen Institute.
- Brännäs, Kurt & de Gooijer, Jan G., 2000. "ASYMMETRIES IN CONDITIONAL MEAN AND VARIANCE: MODELLING STOCK RETURNS BY asMA-asQGARCH," Umeå Economic Studies 535, Umeå University, Department of Economics.
- Camilleri, Silvio John, 2006. "An Analysis of Stock Index Distributions of Selected Emerging Markets," MPRA Paper 62490, University Library of Munich, Germany.
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