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A One Line Derivation of EGARCH
McAleer, Michael; Hafner, Christian M. - Department of Economics and Finance, College of … - 2014
) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative …
Persistent link: https://www.econbiz.de/10010907437
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On the Invertibility of EGARCH
Martinet, Guillaume Gaetan; McAleer, Michael - Department of Economics and Finance, College of … - 2014
) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative …
Persistent link: https://www.econbiz.de/10010907440