17-056/III - The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH

• Authors
  Chia-Lin Chang, National Chung Hsing University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; University of Sydney Business School; Erasmus University Rotterdam, The Netherlands, Complutense University of Madrid, Spain and Yokohama National University, Japan
• Publication date
  June 23, 2017

• Keywords
  Conditional volatility models, random coefficient complex nonlinear moving average process, EGARCH, asymmetry, leverage, regularity condition
• JEL
  C22, C52, C58, G32