Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model
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Publication:2868871
DOI10.1111/sjos.12038zbMath1283.62190arXiv1211.3292MaRDI QIDQ2868871
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
asymptotic normality; quasi-maximum likelihood; strong consistency; volatility models; stochastic recurrence equations; exponential GARCH; invertible models
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G20: Asymptotic properties of nonparametric inference
62P05: Applications of statistics to actuarial sciences and financial mathematics
62G05: Nonparametric estimation
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