On the invertibility of EGARCH(p, q)

DOI10.1080/07474938.2016.1167994zbMath1490.62261OpenAlexW2164410397MaRDI QIDQ5862502

Guillaume Martinet, Michael McAleer

Publication date: 9 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2016.1167994

zbMATH Keywords

asymmetryexistenceasymptotic propertiesstochastic processinvertibilitysufficient conditionsleverage

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

Maximum likelihood estimation for non-stationary location models with mixture of normal distributions ⋮ The correct regularity condition and interpretation of asymmetry in EGARCH ⋮ Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers

Cites Work

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• Conditional Heteroscedastic Time Series Models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model

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