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Sign - and volatility - switching arch models: theory and applications to international stock markets

Mele, Antonio and Fornari, Fabio (1997) Sign - and volatility - switching arch models: theory and applications to international stock markets. Journal of Applied Econometrics, 12 (1). pp. 49-65. ISSN 1099-1255

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Identification Number: 10.1002/(SICI)1099-1255(199701)12:1<49::AID-JAE422>3.0.CO;2-6
Item Type: Article
Official URL: http://www3.interscience.wiley.com/journal/4079/ho...
Additional Information: © 1997 John Wiley & Sons, Ltd.
Subjects: H Social Sciences > HB Economic Theory
Sets: Research centres and groups > Financial Markets Group (FMG)
Collections > Economists Online
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Date Deposited: 18 Jul 2008 09:59
Last Modified: 01 Oct 2010 09:12
URI: http://eprints.lse.ac.uk/id/eprint/19598

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