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A One Line Derivation of EGARCH
McAleer, Michael; Hafner, Christian M. - 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/10010377212
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A one line derivation of EGARCH
McAleer, Michael; Hafner, Christian M. - In: Econometrics 2 (2014) 2, pp. 92-97
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/10010421302
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A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process
Hafner, Christian M.; McAleer, Michael - 2014
One of the most widely-used multivariate conditional volatility models is the dynamic conditional correlation (or DCC) specification. However, the underlying stochastic process to derive DCC has not yet been established, which has made problematic the derivation of asymptotic properties of the...
Persistent link: https://www.econbiz.de/10010491317
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A one line derivation of EGARCH
McAleer, Michael; Hafner, Christian M. - 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/10010362978
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A one line derivation of DCC : application of a vector random coefficient moving average process
Hafner, Christian M.; McAleer, Michael - 2014 - Revised: July 2014
One of the most widely-used multivariate conditional volatility models is the dynamic conditional correlation (or DCC) specification. However, the underlying stochastic process to derive DCC has not yet been established, which has made problematic the derivation of asymptotic properties of the...
Persistent link: https://www.econbiz.de/10010374571
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A one line derivation of EGARCH
McAleer, Michael; Hafner, Christian M. - 2014
Persistent link: https://www.econbiz.de/10010438068
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A one line derivation of DCC : application of a vector random coefficient moving average process
Hafner, Christian M.; McAleer, Michael - 2014
Persistent link: https://www.econbiz.de/10010410197
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A one line derivation of EGARCH
McAleer, Michael; Hafner, Christian M. - 2014
Persistent link: https://www.econbiz.de/10010410204
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A one line derivation of EGARCH
McAleer, Michael; Hafner, Christian M. - In: Econometrics : open access journal 2 (2014) 2, pp. 92-97
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/10010392823
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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