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Asymmetry parameter misspecification in EGARCH model using the rugarch package
Joakim Lindboe Brüchmann .
·
Mar 29, 2016
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r-sig-finance
Dear Alexios, First of all thanks for a wonderful package that I frequently use. I have estimated an ARMA(1,1)-EGARCH(1) model, and was puzzled by the outcome for a very long time since I got an insignificant...
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