HAFNER, Christian; LINTON, Oliver - Center for Operations Research and Econometrics (CORE), … - 2013
some progress has been made recently, a complete distribution theory of MLE for EGARCH models is still missing. Furthermore …, as starting values for MLE. The estimator of the dynamic parameter is inde- pendent of the innovation distribution. For … the other parameters we assume that the innovation distribution belongs to the class of Generalized Error Distributions …