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Showing 1 to 1 of 1 for “"GARJI"”.
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Essays on Fine Structure of Asset Returns, Jumps, and Stochastic Volatility
… models such as Maheu and McCurdy's (2004) GARJI model incorporating the autoregressive conditional jump intensity parameterization in the discrete-time framework. I find that the more parsimonious GJR-HT model is superior to mixed GARCH-jump models. Likelihood-ratio (LR) tests, information …