Continuous invertibility and stable QML estimation of the EGARCH(1,1) model
Year of publication: |
2013-01-07
|
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Authors: | Wintenberger, Olivier |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Invertible models | volatility models | quasi maximum likelihood | strong consistency | asymptotic normality | exponential GARCH | stochastic recurrence equation |
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