On the Invertibility of EGARCH
Year of publication: |
2014-07-25
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Authors: | Martinet, Guillaume Gaetan ; McAleer, Michael |
Institutions: | Tinbergen Instituut |
Subject: | Leverage | asymmetry | existence | stochastic process | asymptotic properties | invertibility |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Tinbergen Institute Discussion Papers Number 14-096/III |
Classification: | C22 - Time-Series Models ; C52 - Model Evaluation and Testing ; c58 ; G32 - Financing Policy; Capital and Ownership Structure |
Source: |
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On the invertibility of EGARCH
Martinet, Guillaume Gaetan, (2014)
-
On the invertibility of EGARCH(p,q)
Martinet, Guillaume Gaetan, (2015)
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On the Invertibility of EGARCH
Martinet, Guillaume Gaetan, (2014)
- More ...
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On the Invertibility of EGARCH(p,q)
Martinet, Guillaume Gaetan, (2015)
-
On the Invertibility of EGARCH
Martinet, Guillaume Gaetan, (2014)
-
On the Invertibility of EGARCH(p,q)
Martinet, Guillaume Gaetan, (2015)
- More ...