Exponential conditional volatility models

The asymptotic distribution of maximum likelihood estimators is derived for a class of exponential generalized autoregressive conditional heteroskedasticity (EGARCH) models. The result carries over to models for duration and realised volatility that use an exponential link function. A key feature of the model formulation is that the dynamics are driven by the score.

MoreLess

Year of publication:	2010-09
Authors:	Harvey, Andrew
Institutions:	Departamento de Estadistica, Universidad Carlos III de Madrid
Subject:	Duration models \| Gamma distribution \| General error distribution \| Heteroskedasticity \| Leverage \| Score Student's t

More details

Extent:	application/pdf
Series:	Statistics and Econometrics Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Classification:	C22 - Time-Series Models ; G17 - Financial Forecasting
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008672247