<> "The repository administrator has not yet configured an RDF license."^^ . <> . . "On the statistical properties of multiplicative GARCH models"^^ . "We examine the statistical properties of multiplicative GARCH models. First, we show that in multiplicative models, returns have higher kurtosis and squared returns have a more persistent autocorrelation function than in the nested GARCH model. Second, we extend the results of Andersen and Bollerslev (1998) on the upper bound of the R2 in a Mincer-Zarnowitz regression to the case of a multiplicative GARCH model, using squared returns as a proxy for the true but unobservable conditional variance. Our theoretical results imply that multiplicative GARCH models provide an explanation for stylized facts that cannot be captured by classical GARCH modeling."^^ . "2016-03" . . . "0613" . . . . . . . . "Christian"^^ . "Conrad"^^ . "Christian Conrad"^^ . . "Onno"^^ . "Kleen"^^ . "Onno Kleen"^^ . . . . . . "On the statistical properties of multiplicative GARCH models (PDF)"^^ . . . "conrad_kleen_2016_dp613.pdf"^^ . . . "On the statistical properties of multiplicative GARCH models (Other)"^^ . . . . . . "lightbox.jpg"^^ . . . "On the statistical properties of multiplicative GARCH models (Other)"^^ . . . . . . "preview.jpg"^^ . . . "On the statistical properties of multiplicative GARCH models (Other)"^^ . . . . . . "medium.jpg"^^ . . . "On the statistical properties of multiplicative GARCH models (Other)"^^ . . . . . . "small.jpg"^^ . . . "On the statistical properties of multiplicative GARCH models (Other)"^^ . . . . . . "indexcodes.txt"^^ . . "HTML Summary of #20486 \n\nOn the statistical properties of multiplicative GARCH models\n\n" . "text/html" . . . "330 Wirtschaft"@de . "330 Economics"@en . .