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Ranking leading econometrics journals using citations data from ISI and RePEc
Chang, Chia-Lin; McAleer, Michael - In: Econometrics : open access journal 1 (2013) 3, pp. 217-235
econometrics journals taken from the Thomson Reuters ISI Web of Science (ISI) Category of Economics, using citations data from ISI …
Persistent link: https://www.econbiz.de/10010236715
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Asymmetry and leverage in conditional volatility models
McAleer, Michael - In: Econometrics : open access journal 2 (2014) 3, pp. 145-150
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/10010417180
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Special issue "Celebrated econometricians: Peter Phillips"
Bandi, Federico; Maynard, Alex; Moon, Hyungsik Roger; … - In: Econometrics : open access journal 9 (2021) 3, pp. 1-3
Persistent link: https://www.econbiz.de/10012594136