A Note on "Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model"
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 |
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: |
-
A note on "continuous invertibility and stable QML estimation of the EGARCH(1,1) model"
Blasques, Francisco, (2015)
-
Parametric inference and forecasting in continuously invertible volatility models
Wintenberger, Olivier, (2011)
-
McAleer, Michael, (2019)
- More ...
-
Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models
Blasques, Francisco, (2016)
-
Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models
Blasques, Francisco, (2016)
-
A note on "continuous invertibility and stable QML estimation of the EGARCH(1,1) model"
Blasques, Francisco, (2015)
- More ...