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The geometry of specification error

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Simplicity, scientific inference and econometric modelling

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Simplicity, scientific inference and econometric modelling

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Simplicity, scientific inference and econometric modelling

Keuzenkamp, Hugo A.; McAleer, Michael - 1994

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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...

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