Work

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

Year: 2020

Type: article

Source: International Journal of Forecasting

DOI: 10.1016/j.ijforecast.2020.03.005

Authors: Carol Alexander, Emese Lazar, Silvia Stanescu

Institutions: University of Sussex, University of Reading, Speechmatics (United Kingdom)

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W3014739574

FWCI: 2.598

Cites: 84

Cited by: 20

Related to: 10