Whittle estimation of EGARCH and other exponential volatility models
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Publication:2628845
DOI10.1016/j.jeconom.2009.03.008zbMath1431.62427OpenAlexW1985618907MaRDI QIDQ2628845
Publication date: 18 July 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.03.008
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items
Asymptotic properties of QML estimation of multivariate periodic CCC-GARCH models ⋮ Realized stochastic volatility with general asymmetry and long memory ⋮ AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL ⋮ Estimation of long memory in volatility using wavelets ⋮ Conditional asymmetry in power ARCH\((\infty)\) models ⋮ Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model ⋮ Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH ⋮ Modeling and forecasting persistent financial durations ⋮ Whittle estimation in multivariate CCC-GARCH processes ⋮ Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model
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