Outliers and misleading leverage effect in asymmetric GARCH-type models
Carnero, M. A. and A. Perez
Studies in Nonlinear Dynamics and Econometrics – 2021
Carnero, M. A. and A. Perez
Studies in Nonlinear Dynamics and Econometrics – 2021
Paya I., Peel D. and A. Spiru
Economics Letters – 2010
Novay A., Paya I. and D. Peel
Journal of Money, Credit and Banking – 2010
Paya I. and S. Zhang
Applied Financial Economics – 2009
Paya I., Duarte A. and K. Holden
Journal of Money, Credit and Banking – 2007
Venetis I.,Paya I. and D. Peel
Economics Letters – 2007
Paya I. and D. Peel
Journal
of Money, Credit and Banking – 2006
Pavlidis E., Paya I. and D. Peel
Journal of Forecasting – 2012
Pavlidis E., Paya I. and D. Peel
Journal of International Money and Finance – 2011
Paya I. and D. Peel
Journal of Futures Markets – 2011