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Displaying results 1 to 6 of 6.

  1. On the Invertibility of EGARCH
    Author: Martinet, Guillaume Gaetan; McAleer, Michael
    Published: 2014
    Publisher:  Econometric Institute, Rotterdam

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 57 (2014,22)
    Inter-library loan:
    No inter-library loan
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 1765/51750
    Series: Econometric Institute report EI ; 2014-22
    Subjects: ARCH-Modell; Schätzung; Kapitalmarktrendite; Börsenkurs; Volatilität; Stochastischer Prozess; Leverage; asymmetry; existence; stochastic process; asymptotic properties; invertibility
    Scope: Online-Ressource (14 S.)
  2. A one line derivation of EGARCH
    Author: McAleer, Michael; Hafner, Christian M.
    Published: 2014
    Publisher:  Econometric Institute, Rotterdam

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 57 (2014,20)
    Inter-library loan:
    No inter-library loan
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 1765/51742
    Series: Econometric Institute report EI ; 2014-20
    Subjects: ARCH-Modell; Schätzung; Kapitalmarktrendite; Börsenkurs; Volatilität; Stochastischer Prozess; Leverage; asymmetry; existence; random coefficient models; complex nonlinear moving average process
    Scope: Online-Ressource (8 S.)
  3. On the invertibility of EGARCH
    Author: Martinet, Guillaume Gaetan; McAleer, Michael
    Published: 2014
    Publisher:  Tinbergen Inst., Rotterdam [u.a.]

    Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 432 (2014,96)
    Inter-library loan:
    No inter-library loan

     

    Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative effects of equal magnitude, and leverage, which refers to the negative correlation between the returns shocks and subsequent shocks to volatility. However, the statistical properties of the (quasi-) maximum likelihood estimator (QMLE) of the EGARCH parameters are not available under general conditions, but only for special cases under highly restrictive and unverifiable conditions. A limitation in the development of asymptotic properties of the QMLE for EGARCH is the lack of an invertibility condition for the returns shocks underlying the model. It is shown in this paper that the EGARCH model can be derived from a stochastic process, for which the invertibility conditions can be stated simply and explicitly. This will be useful in re-interpreting the existing properties of the QMLE of the EGARCH parameters.

     
    Export to reference management software   RIS file
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/107808
    Series: Array ; 2014-096
    Subjects: ARCH-Modell; Schätzung; Kapitalmarktrendite; Börsenkurs; Volatilität; Stochastischer Prozess; Leverage; asymmetry; existence; stochastic process; asymptotic properties; invertibility
    Scope: Online-Ressource (14 S.)
  4. A one line derivation of EGARCH
    Author: McAleer, Michael; Hafner, Christian M.
    Published: 2014
    Publisher:  Tinbergen Inst., Rotterdam [u.a.]

    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... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 432 (2014,69)
    Inter-library loan:
    No inter-library loan

     

    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 of equal magnitude, EGARCH can also accommodate leverage, which is the negative correlation between returns shocks and subsequent shocks to volatility. However, there are as yet no statistical properties available for the (quasi-) maximum likelihood estimator of the EGARCH parameters. It is often argued heuristically that the reason for the lack of statistical properties arises from the presence in the model of an absolute value of a function of the parameters, which does not permit analytical derivatives or the derivation of statistical properties. It is shown in this paper that: (i) the EGARCH model can be derived from a random coefficient complex nonlinear moving average (RCCNMA) process; and (ii) the reason for the lack of statistical properties of the estimators of EGARCH is that the stationarity and invertibility conditions for the RCCNMA process are not known.

     
    Export to reference management software   RIS file
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/98887
    Series: Array ; 2014-069
    Subjects: ARCH-Modell; Schätzung; Kapitalmarktrendite; Börsenkurs; Volatilität; Stochastischer Prozess; leverage; asymmetry; existence; random coefficient models; complex nonlinear moving average process
    Scope: Online-Ressource (8 S.)
  5. Maximin value allocation with a non-finite set of states
    Author: Angelopoulos, Angelos
    Published: 2014
    Publisher:  School of Social Sciences, University of Manchester, Manchester

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Inter-library loan:
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Economics discussion paper series : EDP ; 1406
    Subjects: value allocation; asymmetric information; ambiguity; countable states; existence
    Scope: Online-Ressource (21 S.)
  6. Maximin value allocation with a continuum of states
    Author: Angelopoulos, Angelos
    Published: 2014
    Publisher:  School of Social Sciences, University of Manchester, Manchester

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Economics discussion paper series : EDP ; 1407
    Subjects: value allocation; asymmetric information; ambiguity; uncountable states; existence
    Scope: Online-Ressource (13 S.)