A One Line Derivation of EGARCH
Year of publication: |
2014-06-01
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Authors: | McAleer, Michael ; Hafner, Christian Matthias |
Institutions: | Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam |
Subject: | Leverage | asymmetry | existence | random coefficient models | complex nonlinear moving average process |
Extent: | application/pdf |
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Series: | Econometric Institute Research Papers. - ISSN 1566-7294. |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series RePEc:ems:eureir Number EI2014-20 8 pages long |
Classification: | C22 - Time-Series Models ; C52 - Model Evaluation and Testing ; C50 - Econometric Modeling. General ; G32 - Financing Policy; Capital and Ownership Structure |
Source: |
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A One Line Derivation of EGARCH
McAleer, Michael, (2014)
-
A one line derivation of EGARCH
McAleer, Michael, (2014)
-
A One Line Derivation of EGARCH
McAleer, Michael, (2014)
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A generalized dynamic conditional correlation model for many asset returns
Hafner, Christian Matthias, (2003)
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Hafner, Christian Matthias, (2004)
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Temporal aggregation of multivariate GARCH processes
Hafner, Christian Matthias, (2004)
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