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 …

-order moments are provided. The CLS, FGLS and QML estimators are discussed. Empirically, we find evidence of long memory for squared …

distribution. The moments with conditional heteroscedasticity have been discussed. In a Monte Carlo experiment, it was found that …

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 …

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. …

. -- Conditional heteroskedasticity ; Structural change ; Lagrange multiplier test ; Misspecification test ; Nonlinear time series …