ESTIMATION OF ASYMMETRICAL VOLATILITY FOR ASSET PRICES: THE SIMULTANEOUS SWITCHING ARIMA APPROACH

DOI10.14490/jjss.32.119zbMath1044.62111OpenAlexW3021017381MaRDI QIDQ4787562

Naoto Kunitomo, Seisho Sato

Publication date: 7 January 2003

Published in: JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14490/jjss.32.119

zbMATH Keywords

conditional heteroskedasticitystock pricesdaily effectsimultaneous switching AR model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

This page was built for publication: ESTIMATION OF ASYMMETRICAL VOLATILITY FOR ASSET PRICES: THE SIMULTANEOUS SWITCHING ARIMA APPROACH