3 Ways to Glosten-Jagannathan-Runkle (GJR)

, Jagannathan, R.

EconPapers Home
About EconPapers
Working Papers
Journal Articles
Books and Chapters
Software Components
Authors
JEL codes
New Economics Papers

Advanced SearchEconPapers FAQ
Archive maintainers FAQ
Cookies at EconPapers

Format for printing
The RePEc blog
The RePEc plagiarism page
Nessrine Hamzaoui and
Boutheina Regaieg

Additional contact information Nessrine Hamzaoui: Faculty of Economic Sciences and Management of Tunis, Tunisia
Boutheina Regaieg: Faculty of Law, Economics and Management visit this web-site Jendouba, Tunisia. doi. 0 Universal (CC0) Public Domain Dedication. Thirdly, for the 6 month, 9 month and 12 month forward premiums; the GJR-GARCH in mean effect is totally absent
Keywords: Conditional Volatility; Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic; Generalized Autoregressive Conditional Heteroscedasticity; Volatility Persistence (search for similar items in EconPapers)
JEL-codes: C58 G14 G13 G15 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc Citations: Track citations by RSS feed

Downloads: (external link)http://www. Our daily analysis reveals several results.

How to Create the Perfect Latent Variable Models

Photos used throughout the site by David Jorre, Jean-Philippe Delberghe, JJ Ying, Luca Bravo, Brandi Redd, & Christian Perner from Unsplash. Our empirical analysis is based on daily data related to the EUR/USD forward premiums. com/index. org/10.

5 Epic Formulas To Statistics Programming

Hide this message

Affiliations

find more information Read online

About the journal