Narrow search
Showing 1 - 3 of 3
Cover Image
Long memory modelling of inflation with stochastic variance and structural breaks
Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007
Persistent link: https://www.econbiz.de/10003645182
Cover Image
Long memory modelling of inflation with stochastic variance and structural breaks
Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007
varying size. Based on the new modelling framework and the associated estimation technique, we find remarkable changes in the …
Persistent link: https://www.econbiz.de/10011373822
Cover Image
Asymmetry and leverage in conditional volatility models
McAleer, Michael - 2014
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