Modelling asymmetric conditional heteroskedasticity in financial asset returns: an extension of Nelson’s EGARCH model
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References listed on IDEAS
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More about this item
KeywordsGARCH; TARCH; EGARCH; Quasi Maximum Likelihood Estimation; Martingale;
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2018-06-18 (All new papers)
- NEP-ECM-2018-06-18 (Econometrics)
- NEP-ETS-2018-06-18 (Econometric Time Series)
- NEP-ORE-2018-06-18 (Operations Research)
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