Zakoïan, Jean-Michel; Wintenberger, Olivier; Francq, … - Université Paris-Dauphine (Paris IX) - 2013
This paper provides a probabilistic and statistical comparison of the log-GARCH and EGARCH models, which both rely on …, existence of moments, tails) of the EGARCH model, which are already known, with those of an asymmetric version of the log-GARCH …. The quasi-maximum likelihood estimation of the log-GARCH parameters is shown to be strongly consistent and asymptotically …