Continuous invertibility and stable QML estimation of the EGARCH(1,1) model
Date
2013Link to item file
http://hal.archives-ouvertes.fr/hal-00751706Dewey
Probabilités et mathématiques appliquéesSujet
stochastic recurrence equation; exponential GARCH; asymptotic normality; strong consistency; quasi maximum likelihood; volatility models; Invertible modelsJournal issue
Scandinavian Journal of StatisticsVolume
40Number
4Publication date
2013Article pages
846-867Publisher
WileyCollections
Metadata
Show full item recordAuthor
Wintenberger, Olivier