Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model

DOI10.1111/sjos.12038zbMath1283.62190arXiv1211.3292OpenAlexW1942235537MaRDI QIDQ2868871

Olivier Wintenberger

Publication date: 19 December 2013

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.3292

zbMATH Keywords

asymptotic normalityquasi-maximum likelihoodstrong consistencyvolatility modelsstochastic recurrence equationsexponential GARCHinvertible models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05)

Related Items (27)

An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns ⋮ A new class of integer-valued GARCH models for time series of bounded counts with extra-binomial variation ⋮ A CLT for martingale transforms with infinite variance ⋮ Spillover dynamics for systemic risk measurement using spatial financial time series models ⋮ Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown ⋮ Stationarity and ergodicity of univariate generalized autoregressive score processes ⋮ A coupled component DCS-EGARCH model for intraday and overnight volatility ⋮ AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL ⋮ On the limit theory of the Gaussian SQMLE in the EGARCH(1,1) model ⋮ A robust score-driven filter for multivariate time series ⋮ Maximum likelihood estimation for non-stationary location models with mixture of normal distributions ⋮ Autoregressive conditional betas ⋮ Observation-driven filtering of time-varying parameters using moment conditions ⋮ Goodness-of-fit tests for Log-GARCH and EGARCH models ⋮ Outliers and misleading leverage effect in asymmetric GARCH-type models ⋮ GARCH models without positivity constraints: exponential or log GARCH? ⋮ Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model ⋮ Risk-parameter estimation in volatility models ⋮ Feasible invertibility conditions and maximum likelihood estimation for observation-driven models ⋮ Asymptotics of Cholesky GARCH models and time-varying conditional betas ⋮ Two classes of dynamic binomial integer-valued ARCH models ⋮ Optimal change-point estimation in time series ⋮ Commercial and residential mortgage defaults: spatial dependence with frailty ⋮ A new binomial autoregressive process with explanatory variables ⋮ QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES ⋮ On the invertibility of EGARCH(p, q) ⋮ Maximum likelihood estimation for score-driven models

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