A note on "continuous invertibility and stable QML estimation of the EGARCH(1,1) model"

Francisco Blasques; Paolo Gorgi; Siem Jan Koopman; Olivier Wintenberger

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:	Rotterdam [u.a.] : Tinbergen Inst.
Subject:	invertibility \| quasi-maximum likelihood estimator \| volatility models \| Schätzung \| Estimation \| Volatilität \| Volatility \| Schätztheorie \| Estimation theory \| ARCH-Modell \| ARCH model \| Börsenkurs \| Share price \| Maximum-Likelihood-Schätzung \| Maximum likelihood estimation

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Extent:	Online-Ressource (8 S.)
Series:	Discussion paper / Tinbergen Institute. - Rotterdam [u.a.] : [Verlag nicht ermittelbar], ISSN 0929-0834, ZDB-ID 2435783-2. - Vol. 2015-131
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: PDF Reader
Other identifiers:	hdl:10419/125132 [Handle]
Classification:	C01 - Econometrics ; C22 - Time-Series Models ; C51 - Model Construction and Estimation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011401308