The strong consistency and asymptotic normality of the Whittle estimate of the parameters in a class of exponential volatility processes are established. Our main focus here are the EGARCH model of [Nelson, D. 1991. Conditional heteroscedasticity in asset pricing: A new approach. Econometrica...

Factor model methods recently have become extremely popular in the theory and practice of large panels of time series data. Those methods rely on various factor models which all are particular cases of the Generalized Dynamic Factor Model (GDFM) introduced in Forniet al. (2000). That paper,...