On the invertibility of EGARCH(p, q)
Guillaume Gaetan Martinet and Michael McAleer
| Year of publication: |
2018
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|---|---|
| Authors: | Martinet, Guillaume Gaetan ; McAleer, Michael |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 37.2018, 6/10, p. 824-849
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| Subject: | Asymmetry | asymptotic properties | existence | invertibility | leverage | stochastic process | sufficient conditions | Theorie | Theory | Stochastischer Prozess | Stochastic process | ARCH-Modell | ARCH model | Volatilität | Volatility | Börsenkurs | Share price | Kapitalmarktrendite | Capital market returns | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2016.1167994 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012040413