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Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative effects of equal magnitude, and leverage, which...
Persistent link: https://www.econbiz.de/10011079163
Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative effects of equal magnitude, and leverage, which...
Persistent link: https://www.econbiz.de/10010907440
Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative effects of equal magnitude, and leverage, which...
Persistent link: https://www.econbiz.de/10011272590
Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative effects of equal magnitude, and leverage, which...
Persistent link: https://www.econbiz.de/10011272596
Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative effects of equal magnitude, and leverage, which...
Persistent link: https://www.econbiz.de/10011272958
This study analyses the patent trends and volatilities for the top 12 foreign patenting countries in the US market from 1975 to 1997. Japan is ranked first in terms of foreign patents registered in the USA, followed by Germany. Patent registrations from each of these countries have increased...
Persistent link: https://www.econbiz.de/10005511369
The t-test of an individual coefficient is used widely in models of qualitative choice. However, it is well known that the t-test can yield misleading results when the sample size is small. This paper provides some experimental evidence on the finite sample properties of the t-test in models...
Persistent link: https://www.econbiz.de/10005511930
This article reviews the exciting and rapidly expanding literature on realized volatility. After presenting a general univariate framework for estimating realized volatilities, a simple discrete time model is presented in order to motivate the main results. A continuous time specification...
Persistent link: https://www.econbiz.de/10005511988
This paper reviews the exciting and rapidly expanding literature on realized volatility. After presenting a general univariate framework for estimating realized volatilities, a simple discrete time model is presented in order to motivate the main results. A continuous time specification provides...
Persistent link: https://www.econbiz.de/10005534093
The increasing diversity of average growth rates and income levels across countries has generated a large literature on testing the income convergence hypothesis. Most countries in South-East Asia, particularly the five founding ASEAN member countries (ASEAN-5), have experienced substantial...
Persistent link: https://www.econbiz.de/10005475464