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The need to use an asymmetric model leads us to select the GJR model as the asymmetric model because it is less sensitive to outliers than other, better-known models (6).
To start fitting the copula functions to time series data described via previously mentioned models (GJR, APARCH and the like) we need to clearly state, that our method of fitting should be applied to conditional copula functions, that is functions that allow to capture the time- dependence of the phenomenon.
The GJR model is a simple extension of the GARCH model accounting for any asymmetries involved.
introduced by Glosten, Jagannathan and Runkle (GJR, 1993) and Zakoian (1994).
Over a period of seven years, we test a large family of GARCH models, including; the basic GARCH model, GARCH-in-mean model, asymmetric exponential GARCH and GJR GARCH, power GARCH and component GARCH model.
(49.) Tweedale PN, Alexander F, McHardy GJR. Short-term variability of [FEV.sub.1] and bronchodilator responsiveness in patients with obstructive ventilatory defects.
[7.] Gordon DT and V Ratliff The importance of omega 3 fatty acids in human health In: Flick GJr Martins R, (Eds).
Full arch toothblocks (10) were examined by the main examiner (TP) and another dental surgeon (GJR) using the WHO criteria for caries diagnosis to assess inter-rater agreement [World Health Oral Surveys, 1987].
***Bundesminsterium gjr Umwelt Naturschutz und Reaktorsicherheit, No.
pounds 850.00 J W Gibb & Son Rusha Farm Rusha GJR Registered Texel.
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