Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
958411 | Journal of Empirical Finance | 2006 | 16 Pages |
Abstract
The purpose of this paper is to provide a comprehensive methodology for the analysis of the Asymmetric Power ARCH model. First, it gives the ARMA representations of a power transformation of the conditional variance and the absolute returns. Second, it derives a certain fractional moment of the absolute observations. Third, it obtains the autocorrelation function of the power-transformed absolute returns. Finally, the practical implications of the results are illustrated empirically using daily data on five East Asia stock indices.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Menelaos Karanasos, Jinki Kim,