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A One Line Derivation of EGARCH
McAleer, Michael; Hafner, Christian M. - Department of Economics and Finance, College of … - 2014
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 also...
Persistent link: https://www.econbiz.de/10010907437
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On the Invertibility of EGARCH
Martinet, Guillaume Gaetan; McAleer, Michael - Department of Economics and Finance, College of … - 2014
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 leverage, which...
Persistent link: https://www.econbiz.de/10010907440
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A New Existence and Uniqueness Theorem for Continuous Games
Hogan, Seamus - Department of Economics and Finance, College of … - 2010
This paper derives a general sufficient condition for existence and uniqueness in continuous games using a variant of … contraction mapping variant, and then show how the existence of a unique equilibrium in the general game can be shown by proving … the existence of a unique equilibrium in an iterative sequence of games involving such R-to-R mappings. Finally, we show …
Persistent link: https://www.econbiz.de/10008672254