Un modelo GARCH con asimetría condicional autorregresiva para modelar series de tiempo: Una aplicación para el Indice de Precios y Cotizaciones
[A GARCH model with autorregresive conditional asymmetry to model time-series: An application to the returns of the Mexican Stock Market Index]
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More about this item
Keywords
Conditional Asymmetry; GARCH; Skewness; Stock Market Returns; Mexico;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2012-11-24 (Econometrics)
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