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Equilibrium Constrained Optimization Problems

Birbil, Birbil, S.I.; Bouza, G.; Frenk, Frenk, J.B.G.; … - Faculteit der Economische Wetenschappen, Erasmus … - 2003

-infinite programming problems. Based on the celebrated K K M lemma, we prove the existence of feasible points for the equilibrium …

Persistent link: https://www.econbiz.de/10010837800

A One Line Derivation of EGARCH

McAleer, Michael; Hafner, Christian Matthias - Faculteit der Economische Wetenschappen, Erasmus … - 2014

__Abstract__ One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative effects of equal magnitude, EGARCH can...

Persistent link: https://www.econbiz.de/10011149277

On the Invertibility of EGARCH

McAleer, Michael; Martinet, Martinet, G.G. - Faculteit der Economische Wetenschappen, Erasmus … - 2014

__Abstract__ Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative effects of equal magnitude, and...

Persistent link: https://www.econbiz.de/10011149280