Garch models without positivity constraints: exponential or log garch?
Year of publication: |
2012-09-16
|
---|---|
Authors: | Francq, Christian ; Wintenberger, Olivier ; Zakoian, Jean-Michel |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Keywords: | log-GARCH: Quasi-Maximum Likelihood: Strict stationarity: Tail index |
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