Glosten, Jagannathan and Runkle

Acronym

Definition

GJR

George Junior Republic (Grove City, PA; private school)

GJR

Glosten, Jagannathan and Runkle (econometric model authors)

GJR

Guelph Junction Railway (Canada)

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GJR-GARCH Model Glosten, Jagannathan and Runkle (1993) proposed GJR model to account for possible asymmetry. Econometric modeling of time-varying conditional hetroscedasticity ... by Pati, Pratap Chandra / Indian Journal of Economics and Business Due to this kind of problem in assumption, we can also use the TARCH (threshold ARCH) model of Glosten, Jagannathan and Runkle (2) and the exponential GARCH (EGARCH) model of Nelson (3) which specialized in measuring asymmetric volatility of the exchange rate. The volatility and asymmetry of Won/Dollar exchange rate by Yoon, Seok; Lee, Ki Seong / Journal of Social Sciences Campbell (1987), French, Schwert and Stambaugh (1987), Harvey (1989), Turner, Startz and Nelson (1989), Pagan and Hong (1989), Baillie and DeGennaro (1990), Nelson (1991), Campbell and Hentschel (1992), and Glosten, Jagannathan and Runkle (1993), Whitelaw (1994), Chauvet and Potter (1998), Mayfield (1999), and Whitelaw (2000). Matched-long term maturity stock and bond returns in international ... by Cakici, Nusret; Kellman, Mitchell; Kraizberg, Elli / American Economist	GLOMO GLOMONET GloMoSim GLOMP GLOMR GLONASS GLONET GLONIC GLOP GLOPAR GLOPP GLOPRA GLOR GLOREAM GLORI GLORIA GLORIAD GLoRiClass GLORP GLORT GLORY GLOS GLOSMA GLOSS GLOSS- Glosten, Jagannathan and Runkle GLOT GLOTRAC GLOTRB GLOUCS GLOVES GLOW GLOWATS GLOWM GLOWS GLOWWIB GLP GLP-1 GLP1 GLP1R GLPA GLPAA GLPAC GLPAPA GLPC GLPCI GLPCOD GlpD GLPDC GLPF GLPG	glossoptosis glossoptosis glossopyrosis glossopyrosis glossorrhaphy glossospasm glossotomy glossotrichia glossotrichia glossotrichia glossy glossy glossy Glossy buckthorn Glossy Ibis Glossy magazine Glossy magazine Glossy magazine glossy paint Glossy Photo Paper glossy print Glossy Privet glossy skin glossy snake glossy-coated glossy-furred glossy-haired Glost glost firing Glost oven Glosten, Jagannathan and Runkle Gloster Aircraft Company Gloster fancy gloStream glosts GLOT Glotal stop Glotal stop Glotochronology Glotochronology Glotov, Stepan Glotovka GLOTRAC GLOTRB glott- glottal glottal glottal catch Glottal consonant Glottal consonants Glottal fry glottal plosive glottal stop glottal stop Glottal stops Glottal stops Glottalstop Glottalstop glottic glottic glottic

References in periodicals archive

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GJR-GARCH Model Glosten, Jagannathan and Runkle (1993) proposed GJR model to account for possible asymmetry.

Econometric modeling of time-varying conditional hetroscedasticity ... by Pati, Pratap Chandra / Indian Journal of Economics and Business

Due to this kind of problem in assumption, we can also use the TARCH (threshold ARCH) model of Glosten, Jagannathan and Runkle (2) and the exponential GARCH (EGARCH) model of Nelson (3) which specialized in measuring asymmetric volatility of the exchange rate.

The volatility and asymmetry of Won/Dollar exchange rate by Yoon, Seok; Lee, Ki Seong / Journal of Social Sciences

Campbell (1987), French, Schwert and Stambaugh (1987), Harvey (1989), Turner, Startz and Nelson (1989), Pagan and Hong (1989), Baillie and DeGennaro (1990), Nelson (1991), Campbell and Hentschel (1992), and Glosten, Jagannathan and Runkle (1993), Whitelaw (1994), Chauvet and Potter (1998), Mayfield (1999), and Whitelaw (2000).

Matched-long term maturity stock and bond returns in international ... by Cakici, Nusret; Kellman, Mitchell; Kraizberg, Elli / American Economist