On the Invertibility of EGARCH
Year of publication: |
2014-07-01
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Authors: | McAleer, Michael ; Martinet, Martinet, G.G. |
Institutions: | Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam |
Subject: | Leverage | asymmetry | existence | stochastic process | asymptotic properties | invertibility |
Extent: | application/pdf |
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Series: | Econometric Institute Research Papers. - ISSN 1566-7294. |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series RePEc:ems:eureir Number EI2014-22 1 pages long |
Classification: | C22 - Time-Series Models ; C52 - Model Evaluation and Testing ; C50 - Econometric Modeling. General ; G32 - Financing Policy; Capital and Ownership Structure |
Source: |
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On the invertibility of EGARCH
Martinet, Guillaume Gaetan, (2014)
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On the invertibility of EGARCH(p,q)
Martinet, Guillaume Gaetan, (2015)
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On the Invertibility of EGARCH
Martinet, Guillaume Gaetan, (2014)
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The Impact of Jumps and Leverage in Forecasting Co-Volatility
Asai, Manabu, (2015)
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Chang, Chia-Lin, (2015)
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Frontiers in Time Series and Financial Econometrics
McAleer, Michael, (2015)
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