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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

Asymmetry and leverage in conditional volatility models

McAleer, Michael - 2014

Persistent link: https://www.econbiz.de/10010405194

Asymmetry and leverage in conditional volatility models

McAleer, Michael - 2014

Persistent link: https://www.econbiz.de/10010410186

Asymmetry and leverage in conditional volatility models

McAleer, Michael - 2015

Persistent link: https://www.econbiz.de/10010507684

Cycles in basic innovations

Groot, Bert de (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003116196

Cycles in basic innovations

Groot, Bert de; Franses, Philip Hans - In: Technological forecasting & social change : an … 76 (2009) 8, pp. 1021-1025

Persistent link: https://www.econbiz.de/10003919070

A simple test of GARCH against a stochastic volatility model

Franses, Philip Hans (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003179654

A simple test for GARCH against a stochastic volatility model

Franses, Philip Hans; Leij, Marco van der; Paap, Richard - In: Journal of financial econometrics : official journal of … 6 (2008) 3, pp. 291-306

Persistent link: https://www.econbiz.de/10003748059

Stochastic levels and duration dependence in US unemployment

Bruijn, Bert de; Franses, Philip Hans - 2015

Persistent link: https://www.econbiz.de/10011432575

Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing

Asai, Manabu; McAleer, Michael - 2013

The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diffusion process which accommodates leverage, feedback effects and multifactor for the covariance process. The paper gives the closed-form solution for the conditional and unconditional Laplace transform...

Persistent link: https://www.econbiz.de/10010326219