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  • Search: subject:"random coefficient autoregressive processes"
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Year of publication
Subject
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asymmetry 5 leverage 5 random coefficient autoregressive processes 5 random coefficient complex nonlinear moving average process 5 conditional volatility models 3 Conditional volatility models 2 ARCH model 1 ARCH-Modell 1 Modellierung 1 Scientific modelling 1 Stochastic process 1 Stochastischer Prozess 1 Theorie 1 Theory 1 Time series analysis 1 Volatility 1 Volatilität 1 Zeitreihenanalyse 1
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Online availability
All
Free 5
Type of publication
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Book / Working Paper 3 Article 2
Type of publication (narrower categories)
All
Working Paper 2 Arbeitspapier 1 Article 1 Graue Literatur 1 Non-commercial literature 1
Language
All
English 3 Undetermined 2
Author
All
McAleer, Michael 5
Institution
All
Tinbergen Instituut 1
Published in...
All
Econometrics 2 Discussion paper / Tinbergen Institute 1 Tinbergen Institute Discussion Paper 1 Tinbergen Institute Discussion Papers 1
Source
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EconStor 2 RePEc 2 ECONIS (ZBW) 1
Showing 1 - 5 of 5
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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
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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/10010491351
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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
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
Saved in:
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