14-125/III - Asymmetry and Leverage in Conditional Volatility Models

  • Author
    Michael McAleer, National Tsing Hua University Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain
  • Publication date
    September 18, 2014
  • Keywords
    Conditional volatility models, random coefficient autoregressive processes, random coefficient complex nonlinear moving average process, asymmetry, leverage
  • JEL
    C22, C52, C58, G32