The correct egularity condition and interpretation of asymmetry in EGARCH
Chia-Lin Chang (Department of Applied Economics, Department of Finance, National Chung Hsing University, Taichung, Taiwan), Michael McAleer (Department of Quantitative Finance, National Tsing Hua University, Taiwan and Discipline of Business Analytics, University of Sydney Business School and Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, The Netherlands and Department of Quantitative Economics, Complutense University of Madrid, Spain and Institute of Advanced Sciences, Yokohama National University, Japan)
| Year of publication: |
June 2017 ; Revised: June 2017
|
|---|---|
| Authors: | Chang, Chia-Lin ; McAleer, Michael |
| Publisher: |
[Rotterdam] : [Econometric Institute, Erasmus School of Economics] |
| Subject: | ARCH-Modell | ARCH model | Mehrebenenanalyse | Multi-level analysis | Stochastischer Prozess | Stochastic process |
freely available