A one line derivation of EGARCH
Year of publication: |
2014
|
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Authors: | McAleer, Michael ; Hafner, Christian M. |
Published in: |
Econometrics. - Basel : MDPI, ISSN 2225-1146. - Vol. 2.2014, 2, p. 92-97
|
Publisher: |
Basel : MDPI |
Subject: | leverage | asymmetry | existence | random coefficient models | complex non-linear moving average process |
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.3390/econometrics2020092 [DOI] 794128637 [GVK] hdl:10419/103638 [Handle] |
Classification: | C22 - Time-Series Models ; C52 - Model Evaluation and Testing ; c58 ; G32 - Financing Policy; Capital and Ownership Structure |
Source: |
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A one line derivation of EGARCH
McAleer, Michael, (2014)
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A One Line Derivation of EGARCH
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