The GJR GARCH(1,1) Process As Regularly Varying: Implications for Efficient Model Estimation and Risk Measurement

2018 ◽  
Author(s):  
Todd Prono
2018 ◽  
Vol 138 (12) ◽  
pp. 1547-1553
Author(s):  
Yoshitsugu Nakagawa ◽  
Chisato Murakami ◽  
Kazuyuki Mori ◽  
Haruhiko Sato

1973 ◽  
Vol 29 (4) ◽  
pp. 81-87 ◽  
Author(s):  
Richard A. Crowell
Keyword(s):  

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