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~person:"Aslam, Muhammad"
~person:"Chen, Chi-Chung"
~source:"repec"
~subject:"EGARCH"
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EGARCH
GARCH
5
GJR
5
Volatility
5
ENSO
3
Greenhouse Gas Emissions
3
SOI
3
SOT
3
APARCH
2
Fat-tailed distribution
2
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Aslam, Muhammad
Chen, Chi-Chung
McAleer, Michael
11
Chang, Chia-Lin
6
McAleer, M.J.
4
Chang, C-L.
3
Chu, LanFen
3
Francq, Christian
3
Naqvi, Bushra
3
Ooms, Marius
3
Angelovska, Julijana
2
Caiado, Jorge
2
Doornik, Jurgen A.
2
Pasha, G.R.
2
Qasim, Tahira
2
Rizvi, Syed Kumail Abbas
2
Wintenberger, Olivier
2
Zakoïan, Jean-Michel
2
AJAYI S. A.
1
AKSOY, Mine
1
Abuzayed, Bana
1
Al-Zeaud, Hussein Ali
1
Alam, Md. Zahangir
1
Aliyu, Shehu Usman Rano
1
Ari, Yakup
1
AŞKIN, Öyküm Esra
1
BOURI, Elie
1
Bayraci, Selcuk
1
Borovička, Adam
1
BÜYÜKLÜ, Ali Hakan
1
Carnero, M. Angeles
1
Chan, Felix
1
Chen, C-C.
1
Chen, Chen, C-C.
1
Chu, Chu, L.
1
Chu, L.F.
1
Doornik, Jurgen
1
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1
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1
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Department of Economics and Finance, College of Business and Economics
1
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
1
Institute of Economic Research, Kyoto University
1
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Lahore Journal of Economics
2
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1
How Volatile is ENSO?
McAleer, Michael
;
Chu, LanFen
;
Chen, Chi-Chung
-
Facultad de Ciencias Económicas y Empresariales, …
-
2011
results show that both the ARMA(1,1)-
GARCH
(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility …
Persistent link: https://www.econbiz.de/10009141355
Saved in:
2
How Volatile is ENSO?
Chu, LanFen
;
McAleer, Michael
;
Chen, Chi-Chung
-
Institute of Economic Research, Kyoto University
-
2010
results show that both the ARMA(1,1)-
GARCH
(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility …
Persistent link: https://www.econbiz.de/10008677573
Saved in:
3
Estimating and Forecasting Volatility of Financial Time Series in Pakistan with
GARCH
-type Models
Pasha, G.R.
;
Qasim, Tahira
;
Aslam, Muhammad
- In:
Lahore Journal of Economics
12
(
2007
)
2
,
pp. 115-149
In this paper we compare the performance of different
GARCH
models such as
GARCH
, EGARCH,GJR and APARCH models, to … asymmetric
GARCH
models with normal and fat-tailed distributions for the innovations, over short and long forecast horizons. The … index are analyzed. The empirical results demonstrate that the use of asymmetry in the
GARCH
models and the assumption of …
Persistent link: https://www.econbiz.de/10010861906
Saved in:
4
Estimating and Forecasting Volatility of Financial Time Series in Pakistan with
GARCH
-type Models
Pasha, G.R.
;
Qasim, Tahira
;
Aslam, Muhammad
- In:
Lahore Journal of Economics
12
(
2007
)
2
,
pp. 115-149
In this paper we compare the performance of different
GARCH
models such as
GARCH
, EGARCH,GJR and APARCH models, to … asymmetric
GARCH
models with normal and fat-tailed distributions for the innovations, over short and long forecast horizons. The … index are analyzed. The empirical results demonstrate that the use of asymmetry in the
GARCH
models and the assumption of …
Persistent link: https://www.econbiz.de/10010587955
Saved in:
5
How Volatile is ENSO?
Chu, LanFen
;
Chen, Chi-Chung
;
McAleer, Michael
-
Department of Economics and Finance, College of …
-
2010
results show that both the ARMA(1,1)-
GARCH
(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility …
Persistent link: https://www.econbiz.de/10008465228
Saved in:
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