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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 9 leverage 9 random coefficient complex nonlinear moving average process 9 random coefficient autoregressive processes 7 Conditional volatility models 5 conditional volatility models 5 ARCH model 4 ARCH-Modell 4 Stochastic process 4 Stochastischer Prozess 4 Time series analysis 4 Volatility 4 Volatilität 4 Zeitreihenanalyse 4 EGARCH 3 Börsenkurs 2 Estimation theory 2 Modellierung 2 Schätztheorie 2 Scientific modelling 2 Share price 2 Theorie 2 Theory 2 regularity condition 2 Asymmetry 1 Leverage 1 Random coefficient complex nonlinear moving average process 1 Regularity condition 1
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Online availability
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Free 7 Undetermined 2
Type of publication
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Book / Working Paper 6 Article 4
Type of publication (narrower categories)
All
Working Paper 4 Arbeitspapier 2 Article in journal 2 Aufsatz in Zeitschrift 2 Graue Literatur 2 Non-commercial literature 2 Article 1
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Language
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English 7 Undetermined 3
Author
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McAleer, Michael 10 Chang, Chia-Lin 3
Institution
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Department of Economics and Finance, College of Business and Economics 1 Tinbergen Instituut 1
Published in...
All
Discussion paper / Tinbergen Institute 2 Econometrics 2 Tinbergen Institute Discussion Paper 2 Econometrics : open access journal 1 Economics letters 1 Tinbergen Institute Discussion Papers 1 Working Papers in Economics 1
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Source
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ECONIS (ZBW) 4 EconStor 3 RePEc 3
Showing 1 - 10 of 10
Cover Image
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
Saved in:
Cover Image
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
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
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:
Cover Image
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
Saved in:
Cover Image
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
Saved in:
Cover Image
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
Saved in:
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