Asymmetric mean-reversion and contrarian profits: ANST-GARCH approach

Authors: Nam K.1; Pyun C.S.; Arize A.C.

Source: Journal of Empirical Finance, Volume 9, Number 5, December 2002 , pp. 563-588(26)

Publisher: Elsevier

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Keywords: Asymmetric GARCH model; Asymmetric mean reverting; Contrarian portfolio strategy; Stock market overreaction; [JEL classification codes] G14; [JEL classification codes] C40; [JEL classification codes] C51

Language: English

Document Type: Research article

DOI: 10.1016/S0927-5398(02)00011-7

Affiliations: 1: Department of Economics and Finance, College of Business Administration, University of Texas-Pan American, 78539-2999, Edinburg, TX, USA

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