Showing 1 - 10 of 10
Persistent link: https://www.econbiz.de/10003849457
Persistent link: https://www.econbiz.de/10008857566
Persistent link: https://www.econbiz.de/10008779686
Persistent link: https://www.econbiz.de/10008779696
Persistent link: https://www.econbiz.de/10008824705
Persistent link: https://www.econbiz.de/10003941851
Persistent link: https://www.econbiz.de/10009546007
The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or...
Persistent link: https://www.econbiz.de/10010405194
Persistent link: https://www.econbiz.de/10012196836
Persistent link: https://www.econbiz.de/10009572751