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  • Search: subject:"complex nonlinear moving average process"
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Year of publication
Subject
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asymmetry 12 leverage 8 random coefficient complex nonlinear moving average process 7 complex nonlinear moving average process 5 existence 5 random coefficient autoregressive processes 5 random coefficient models 5 ARCH model 4 ARCH-Modell 4 Leverage 4 Stochastic process 4 Stochastischer Prozess 4 Volatility 4 Volatilität 4 conditional volatility models 4 Börsenkurs 3 Conditional volatility models 3 Share price 3 Capital market returns 2 EGARCH 2 Estimation 2 Kapitalmarktrendite 2 Schätzung 2 Time series analysis 2 Zeitreihenanalyse 2 regularity condition 2 Estimation theory 1 Modellierung 1 Schätztheorie 1 Scientific modelling 1 Theorie 1 Theory 1
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Online availability
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Free 12
Type of publication
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Book / Working Paper 10 Article 2
Type of publication (narrower categories)
All
Working Paper 7 Arbeitspapier 4 Graue Literatur 4 Non-commercial literature 4 Article 1
Language
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English 8 Undetermined 4
Author
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McAleer, Michael 12 Hafner, Christian M. 4 Chang, Chia-Lin 2 Hafner, Christian Matthias 1
Institution
All
Tinbergen Instituut 2 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 1
Published in...
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Discussion paper / Tinbergen Institute 3 Tinbergen Institute Discussion Paper 3 Econometrics 2 Tinbergen Institute Discussion Papers 2 Econometric Institute Research Papers 1 Econometric Institute research papers 1
Source
All
ECONIS (ZBW) 4 EconStor 4 RePEc 4
Showing 1 - 10 of 12
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The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH
Chang, Chia-Lin; McAleer, Michael - 2017
of which was used by McAleer (2004) to obtain GJR. A random coefficient complex nonlinear moving average process was used …
Persistent link: https://www.econbiz.de/10011819449
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The correct regularity condition and interpretation of asymmetry in EGARCH
Chang, Chia-Lin; McAleer, Michael - 2017
of which was used by McAleer (2004) to obtain GJR. A random coefficient complex nonlinear moving average process was used …
Persistent link: https://www.econbiz.de/10011688332
Saved in:
Cover Image
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
Saved in:
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Asymmetry and leverage in conditional volatility models
McAleer, Michael - In: Econometrics 2 (2014) 3, pp. 145-150
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/10010421299
Saved in:
Cover Image
Asymmetry and Leverage in Conditional Volatility Models
McAleer, Michael - 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/10010491351
Saved in:
Cover Image
Asymmetry and Leverage in Conditional Volatility Models
McAleer, Michael - Tinbergen Instituut - 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/10011257524
Saved in:
Cover Image
Asymmetry and Leverage in Conditional Volatility Models
McAleer, Michael - In: Econometrics 2 (2014) 3, pp. 145-150
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/10011031443
Saved in:
Cover Image
A One Line Derivation of EGARCH
McAleer, Michael; Hafner, Christian Matthias - Faculteit der Economische Wetenschappen, Erasmus … - 2014
__Abstract__ 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...
Persistent link: https://www.econbiz.de/10011149277
Saved in:
Cover Image
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
Saved in:
Cover Image
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
Saved in:
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