Omran, Mohamed F.; Avram, Florin - In: Maximum likelihood estimation of misspecified models : …, (pp. 165-176). 2003
This paper relaxes the assumption of conditional normal innovations used by Fornari and Mele (1997) in modelling the asymmetric reaction of the conditional volatility to the arrival of news. We compare the performance of the Sign and Volatility Switching ARCH model of Fornari and Mele (1997) and...
