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~person:"Aslam, Muhammad"
~person:"Chen, Chi-Chung"
~source:"repec"
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Search: subject:"GARCH"
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EGARCH
5
GARCH
5
GJR
5
Volatility
5
ENSO
3
Greenhouse Gas Emissions
3
SOI
3
SOT
3
APARCH
2
Fat-tailed distribution
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Aslam, Muhammad
Chen, Chi-Chung
McAleer, Michael
53
Chang, Chia-Lin
28
Teräsvirta, Timo
25
Guesmi, Khaled
23
Nguyen, Duc Khuong
23
Guegan, Dominique
22
Mittnik, Stefan
20
Tansuchat, Roengchai
19
Francq, Christian
18
Ardia, David
17
Fountas, Stilianos
17
Karanasos, Menelaos
16
Rombouts, Jeroen V.K.
16
Haas, Markus
15
Hafner, Christian M.
15
Bauwens, Luc
14
Zakoian, Jean-Michel
14
Caporale, Guglielmo Maria
13
Conrad, Christian
13
Chevallier, Julien
12
McAleer, M.J.
12
Sévi, Benoît
12
Christoffersen, Peter
11
Herwartz, Helmut
11
Hoogerheide, Lennart F.
11
Lazar, Emese
11
Manera, Matteo
11
Silvennoinen, Annastiina
11
Stentoft, Lars
11
Caporin, Massimiliano
10
Chen, Cathy W.S.
10
Dijk, Herman K. van
10
Jacobs, Kris
10
Paolella, Marc S.
10
Selmi, Refk
10
Spagnolo, Nicola
10
BAUWENS, Luc
9
Bohl, Martin T.
9
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9
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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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RePEc
ECONIS (ZBW)
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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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