Showing 1 - 10 of 100
Persistent link: https://www.econbiz.de/10011695074
Persistent link: https://www.econbiz.de/10014366903
Persistent link: https://www.econbiz.de/10013282450
Persistent link: https://www.econbiz.de/10010190166
Persistent link: https://www.econbiz.de/10009791541
Persistent link: https://www.econbiz.de/10010210318
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/10010392823
Persistent link: https://www.econbiz.de/10010400302
Persistent link: https://www.econbiz.de/10010376462
Persistent link: https://www.econbiz.de/10010360296