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We revisit Wintenberger (2013) on the continuous invertibility of the EGARCH(1,1) model. We note that the definition of continuous invertibility adopted in Wintenberger (2013) may not always be sufficient to deliver strong consistency of the QMLE. We also take the opportunity to provide other...
Persistent link: https://www.econbiz.de/10011401308
dimensionality. The relatively simple structure of the model leads to simple computations for the estimation of parameters and signal …
Persistent link: https://www.econbiz.de/10012591559
. They are applicable to the complete class of observation driven models and are valid for a wide range of estimation …
Persistent link: https://www.econbiz.de/10010484891