The correct regularity condition and interpretation of asymmetry in EGARCH
Year of publication: |
June 2017
|
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Authors: | Chang, Chia-Lin ; McAleer, Michael |
Publisher: |
Amsterdam : Tinbergen Institute |
Subject: | conditional volatility models | random coefficient complex nonlinear moving average process | EGARCH | asymmetry | leverage | regularity condition | ARCH-Modell | ARCH model | Theorie | Theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price |
Extent: | 1 Online-Ressource (circa 11 Seiten) |
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Series: | Discussion paper / Tinbergen Institute. - Rotterdam [u.a.] : [Verlag nicht ermittelbar], ISSN 0929-0834, ZDB-ID 2435783-2. - Vol. TI 2017, 056 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Other identifiers: | hdl:10419/177624 [Handle] |
Classification: | C22 - Time-Series Models ; C52 - Model Evaluation and Testing ; c58 ; G32 - Financing Policy; Capital and Ownership Structure |
Source: | ECONIS - Online Catalogue of the ZBW |
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