A note on the Nelson-Cao inequality constraints in the GJR-GARCH model : is there a leverage effect?
Stavros Stavroyiannis
| Year of publication: |
2018
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|---|---|
| Authors: | Stavroyiannis, Stavros |
| Published in: |
International journal of economics and business research. - Olney, Bucks. : Inderscience, ISSN 1756-9850, ZDB-ID 2481914-1. - Vol. 16.2018, 4, p. 442-452
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| Subject: | GJR-GARCH | asymmetry | leverage | Nelson-Cao constraints | Theorie | Theory | Kapitalstruktur | Capital structure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011990733