Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model

DOI10.1111/sjos.12038zbMath1283.62190arXiv1211.3292OpenAlexW1942235537MaRDI QIDQ2868871

Olivier Wintenberger

Publication date: 19 December 2013

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.3292

zbMATH Keywords

asymptotic normalityquasi-maximum likelihoodstrong consistencyvolatility modelsstochastic recurrence equationsexponential GARCHinvertible models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05)

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