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 …

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 …

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 …

This paper deals with the detection of the non-invertibility in moving average (MA) models. We derive an inequality for …

In this article we discuss invertibility conditions for some state space models, including the models that underly …

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

lack of an invertibility condition for the returns shocks underlying the model. It is shown in this paper that the EGARCH … model can be derived from a stochastic process, for which the invertibility conditions can be stated simply and explicitly …

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 …