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Estimation of log-GARCH models via the ARMA representation is attractive because it enables a vast amount of already established results in the ARMA literature. We propose an exponential Chi-squared QMLE for log-GARCH models via the ARMA representation. The advantage of the estimator is that it...
Persistent link: https://www.econbiz.de/10011112442
EGARCH models, this work shows that expansive monetary policies may influence stock market indexes much more than restrictive …
Persistent link: https://www.econbiz.de/10005789602