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  • Search: subject:"complex nonlinear moving average process"
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Subject
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asymmetry 15 leverage 10 random coefficient complex nonlinear moving average process 9 random coefficient autoregressive processes 7 ARCH model 6 ARCH-Modell 6 Leverage 6 Stochastic process 6 Stochastischer Prozess 6 Volatility 6 Volatilität 6 complex nonlinear moving average process 6 existence 6 random coefficient models 6 Conditional volatility models 5 conditional volatility models 5 Börsenkurs 4 Share price 4 Time series analysis 4 Zeitreihenanalyse 4 EGARCH 3 Capital market returns 2 Estimation 2 Estimation theory 2 Kapitalmarktrendite 2 Modellierung 2 Schätztheorie 2 Schätzung 2 Scientific modelling 2 Theorie 2 Theory 2 regularity condition 2 Asymmetry 1 Random coefficient complex nonlinear moving average process 1 Regularity condition 1
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Online availability
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Free 12 Undetermined 2
Type of publication
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Book / Working Paper 12 Article 4
Type of publication (narrower categories)
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Working Paper 7 Arbeitspapier 4 Graue Literatur 4 Non-commercial literature 4 Article in journal 2 Aufsatz in Zeitschrift 2 Article 1
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Language
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English 10 Undetermined 6
Author
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McAleer, Michael 16 Hafner, Christian M. 5 Chang, Chia-Lin 3 Hafner, Christian Matthias 1
Institution
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Department of Economics and Finance, College of Business and Economics 2 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 Working Papers in Economics 2 Econometric Institute Research Papers 1 Econometric Institute research papers 1 Econometrics : open access journal 1 Economics letters 1
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Source
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ECONIS (ZBW) 6 RePEc 6 EconStor 4
Showing 11 - 16 of 16
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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/10010405194
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A one line derivation of EGARCH
McAleer, Michael; Hafner, Christian M. - 2014
Persistent link: https://www.econbiz.de/10010438068
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The correct regularity condition and interpretation of asymmetry in EGARCH
Chang, Chia-Lin; McAleer, Michael - In: Economics letters 161 (2017), pp. 52-55
Persistent link: https://www.econbiz.de/10011903867
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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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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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Asymmetry and leverage in conditional volatility models
McAleer, Michael - In: Econometrics : open access journal 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/10010417180
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