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  • Search: subject:"random coefficient complex nonlinear moving average process"
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Year of publication
Subject
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asymmetry 7 leverage 7 random coefficient complex nonlinear moving average process 7 random coefficient autoregressive processes 5 conditional volatility models 4 Conditional volatility models 3 ARCH model 2 ARCH-Modell 2 EGARCH 2 Stochastic process 2 Stochastischer Prozess 2 Time series analysis 2 Volatility 2 Volatilität 2 Zeitreihenanalyse 2 regularity condition 2 Börsenkurs 1 Estimation theory 1 Modellierung 1 Schätztheorie 1 Scientific modelling 1 Share price 1 Theorie 1 Theory 1
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Online availability
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Free 7
Type of publication
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Book / Working Paper 5 Article 2
Type of publication (narrower categories)
All
Working Paper 4 Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2 Article 1
Language
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English 5 Undetermined 2
Author
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McAleer, Michael 7 Chang, Chia-Lin 2
Institution
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Tinbergen Instituut 1
Published in...
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Discussion paper / Tinbergen Institute 2 Econometrics 2 Tinbergen Institute Discussion Paper 2 Tinbergen Institute Discussion Papers 1
Source
All
EconStor 3 ECONIS (ZBW) 2 RePEc 2
Showing 1 - 7 of 7
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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
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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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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
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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
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