The correct regularity condition and interpretation of asymmetry in EGARCH

DOI10.1016/j.econlet.2017.09.017zbMath1401.62144OpenAlexW2757481656MaRDI QIDQ1786770

Michael McAleer, Chia-Lin Chang

Publication date: 25 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://eprints.ucm.es/id/eprint/43463/1/1717.pdf

zbMATH Keywords

asymmetryregularity conditionleverageEGARCHconditional volatility modelsrandom coefficient complex nonlinear moving average process

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

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Cites Work

• Generalized autoregressive conditional heteroscedasticity
• ARCH models as diffusion approximations
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Conditional Heteroscedastic Time Series Models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• On the invertibility of EGARCH(p, q)

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