Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model (Q2868871): Difference between revisions
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Revision as of 18:52, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model |
scientific article |
Statements
Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model (English)
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19 December 2013
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asymptotic normality
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exponential GARCH
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invertible models
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quasi-maximum likelihood
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stochastic recurrence equations
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strong consistency
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volatility models
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