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