TY  - RPRT
AU  - Chang, Chia-Lin
AU  - McAleer, Michael
PY  - 2017
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/22908
AB  - In the class of univariate conditional volatility models, the three most popular are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten,...
LA  - eng
A3  - Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
KW  - Conditional volatility models
KW  - Random coefficient complex nonlinear moving average process
KW  - EGARCH
KW  - Asymmetry
KW  - Leverage
KW  - Regularity condition.
TI  - The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH
TY  - technical report
VL  - 2017
ER  -