Whittle estimation of EGARCH and other exponential volatility models (Q2628845)
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scientific article; zbMATH DE number 6604088
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| English | Whittle estimation of EGARCH and other exponential volatility models |
scientific article; zbMATH DE number 6604088 |
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Whittle estimation of EGARCH and other exponential volatility models (English)
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18 July 2016
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EGARCH
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GJR
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stochastic volatility
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Whittle estimation
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asymptotics
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0.8307555913925171
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0.8144131898880005
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0.8102155327796936
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0.8083921074867249
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0.7909945249557495
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