Titre:
  • Testing Conditional Dynamics in Asymmetry. A Residual-Based Approach
Auteur:Lambert, Philippe; Laurent, Sébastien
Statut de publication:Publié, 2008
series:ECARES Working papers, 2008_009
Sujet CREF:Economie
Sujet JEL:Multiple or Simultaneous Equation Models: Time-Series Models
Information and Market Efficiency; Event Studies
Financial Markets and the Macroeconomy
Volumes/pages:29 p.
Mots-clés:Conditional skewness
asymmetry
residuals
Langue:Anglais
Identificateurs:RePEc:eca:wpaper:2008_009