Time irreversibility and EGARCH effects in US stock index returns
Version of Record online: 28 OCT 2002
Copyright © 2002 John Wiley & Sons, Ltd.
Journal of Applied Econometrics
Special Issue: Modelling and Forecasting Financial Volatility
Volume 17, Issue 5, pages 565–578, September/October 2002
How to Cite
Chen, Y.-T. and Kuan, C.-M. (2002), Time irreversibility and EGARCH effects in US stock index returns. J. Appl. Econ., 17: 565–578. doi: 10.1002/jae.692
- Issue online: 28 OCT 2002
- Version of Record online: 28 OCT 2002
- Manuscript Revised: 9 APR 2002
- Manuscript Received: 5 OCT 2001
- National Science Council of the Republic of China. Grant Number: NSC90-2415-H-001-034.
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