Stock market dynamics in a regime-switching asymmetric power GARCH model

T. Ane and L. Ureche-Rangau ()
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T. Ane: LEM - Lille - Economie et Management - Université de Lille, Sciences et Technologies - CNRS - Centre National de la Recherche Scientifique
L. Ureche-Rangau: LEM - Lille - Economie et Management - Université de Lille, Sciences et Technologies - CNRS - Centre National de la Recherche Scientifique

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Date: 2006
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Published in International Review of Financial Analysis, 2006, 15 ((2)), pp.109-129

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