Asymmetric Nonstationary Nonlinear Heteroskedasticity Model
碩士 === 國立臺灣大學 === 經濟學研究所 === 92 === We extend the nonstationary nonlinear heteroskedasticity (NNH) model proposed by Park (2002) to construct a new volatility model, namely, the asymmetric NNH (ANNH) model, in which a particular nonlinear transformation of a standardized random walk is used to depic...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/17372213622286306082 |