A Note on "Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model"

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. We also take the opportunity to provide other small clarifications and additions.

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Year of publication:	2015
Authors:	Blasques, Francisco ; Gorgi, Paolo ; Koopman, Siem Jan ; Wintenberger, Olivier
Publisher:	Amsterdam and Rotterdam : Tinbergen Institute
Subject:	invertibility \| quasi-maximum likelihood estimator \| volatility models

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Series:	Tinbergen Institute Discussion Paper ; 15-131/III
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	843877499 [GVK] hdl:10419/125132 [Handle] RePEc:tin:wpaper:20150131 [RePEc]
Classification:	C01 - Econometrics ; C22 - Time-Series Models ; C51 - Model Construction and Estimation
Source:	EconStor

Persistent link: https://www.econbiz.de/10011403589