TY  - RPRT
AU  - McAleer, Michael
AU  - Hafner, Christian M.
PY  - 2014
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/41581
AB  - 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...
LA  - eng
KW  - Leverage
KW  - Asymmetry
KW  - Existence
KW  - Random coefficient models
KW  - Complex nonlinearmoving average process.
TI  - A One Line Derivation of EGARCH
TY  - technical report
VL  - 2014
ER  -