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 …

stationarity and invertibility conditions. The derivation of DCC from a vector random coefficient moving average process raises …

conditions. A limitation in the development of asymptotic properties of the QMLE for EGARCH is the lack of an invertibility … stochastic process, for which the invertibility conditions can be stated simply and explicitly. This will be useful in re …

which the (local) invertibility of the model follows directly from the stable behavior of the true time varying parameter …

models driven by the score function of the predictive likelihood. This class of nonlinear dynamic models includes both new … processes. We formulate primitive conditions for global identification, invertibility, strong consistency, and asymptotic …

properties of the QMLE for the EGARCH(p,q) model is the lack of an invertibility condition for the returns shocks underlying the … invertibility conditions can be stated simply and explicitly. This will be useful in re-interpreting the existing properties of the …

the stationarity and invertibility conditions of the DCC model. The derivation of DCC from a vector random coefficient … than the returns shocks. The derivation of the regularity conditions, especially stationarity and invertibility, should … than returns shocks, as well as the associated stationarity and invertibility conditions. …

We introduce a new estimation framework which extends the Generalized Method of Moments (GMM) to settings where a …