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Econometric Modelling in Blockholder Systems of Corporate Governance
Manjon, M.C. - Tilburg University, Center for Economic Research - 2004
Persistent link: https://www.econbiz.de/10011090535
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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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Value-at-Risk and expected shortfall for rare events
Mittnik, Stefan; Yener, Tina - Center for Financial Studies - 2008
-shock models used in reliability theory. An obvious implication of this finding pertains to the analysis of operational risk. The …
Persistent link: https://www.econbiz.de/10010958774
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Asymmetry and Leverage in Conditional Volatility Models
McAleer, Michael - Department of Economics and Finance, College of … - 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/10010928922
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On the Invertibility of EGARCH
Martinet, Guillaume Gaetan; McAleer, Michael - Tinbergen Instituut - 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/10011272590
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On the Invertibility of EGARCH(p,q)
Martinet, Guillaume Gaetan; McAleer, Michael - Tinbergen Instituut - 2015
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/10011272596
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A One Line Derivation of EGARCH
McAleer, Michael; Hafner, Christian M. - Tinbergen Instituut - 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/10011272605
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On the Invertibility of EGARCH(p,q)
McAleer, Michael; Martinet, Guillaume Gaetan - Facultad de Ciencias Económicas y Empresariales, … - 2015
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/10011272958
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Frontiers in Time Series and Financial Econometrics: An Overview
Ling, Shiqing; McAleer, Michael; Tong, Howell - Facultad de Ciencias Económicas y Empresariales, … - 2015
variable selection, LASSO estimation of threshold autoregressive models, high dimensional stochastic regression with latent … of conditional quantiles in nonlinear time series models, quasi-likelihood estimation of a threshold diffusion process …
Persistent link: https://www.econbiz.de/10011272960