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Econometrics, Volume 2, Issue 3

September 2014 - 2 articles

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Article

61 Citations

11,456 Views

6 Pages

Asymmetry and Leverage in Conditional Volatility Models

Michael McAleer

Econometrics2014, 2(3), 145-150;https://doi.org/10.3390/econometrics2030145

24 September 2014

The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runk...

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Article

4 Citations

8,127 Views

22 Pages

Two-Part Models for Fractional Responses Defined as Ratios of Integers

Harald Oberhofer and
Michael Pfaffermayr

Econometrics2014, 2(3), 123-144;https://doi.org/10.3390/econometrics2030123

19 September 2014

This paper discusses two alternative two-part models for fractional response variables that are defined as ratios of integers. The first two-part model assumes a Binomial distribution and known group size. It nests the one-part fractional response mo...

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Econometrics - ISSN 2225-1146

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