Sign- and Volatility -Switching ARCH Models: Theory and Applications to International Stock Markets

Fabio Fornari () and Antonio Mele

Working Papers from Banca Italia - Servizio di Studi

Keywords: econometrics; stock market (search for similar items in EconPapers)
Pages: 41 pages
Date: 1995
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Citations: View citations in EconPapers (14)

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Journal Article: Sign- and Volatility-Switching ARCH Models: Theory and Applications to International Stock Markets (1997)
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