Continuous invertibility and stable QML estimation of the EGARCH(1,1) model (Q2868871)
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scientific article; zbMATH DE number 6239702
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Continuous invertibility and stable QML estimation of the EGARCH(1,1) model |
scientific article; zbMATH DE number 6239702 |
Statements
19 December 2013
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asymptotic normality
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exponential GARCH
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invertible models
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quasi-maximum likelihood
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stochastic recurrence equations
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strong consistency
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volatility models
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Continuous invertibility and stable QML estimation of the EGARCH(1,1) model (English)
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