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Analytic moments for GJR-GARCH (1, 1) processes · Study

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ArticleAnalytic moments for GJR-GARCH (1, 1) processes

Carol Alexander2020

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Articlegreen2020

Analytic moments for GJR-GARCH (1, 1) processes

Carol Alexander · Emese Lazar · Silvia Stanescu

20 citations·0/0 files stored·International Journal of Forecasting

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1965The Behavior of Stock-Market Prices 1963The Variation of Certain Speculative Prices 1993Measuring and Testing the Impact of News on Volatility 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

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2024Comparative Analysis of Bilinear Time Series Models with Time-Varying and Symmetric GARCH Coefficients: Estimation and Simulation 2021Clustering commodity markets in space and time: Clarifying returns, volatility, and trading regimes through unsupervised machine learning

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Year2020

Typearticle

Published2020-04-04

VenueInternational Journal of Forecasting

ISSN-L0169-2070

Languageen

Citations20

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.ijforecast.2020.03.005

openalex_workW3014739574

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