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

Olivier Wintenberger

doi:10.1111/sjos.12038

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

Olivier Wintenberger

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

51 Citationer (Scopus)

Originalsprog	Engelsk
Tidsskrift	Scandinavian Journal of Statistics
Vol/bind	40
Udgave nummer	4
Sider (fra-til)	846-867
ISSN	0303-6898
DOI	https://doi.org/10.1111/sjos.12038
Status	Udgivet - dec. 2013
Udgivet eksternt	Ja

Adgang til dokumentet

10.1111/sjos.12038

Citationsformater

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

keywords = "asymptotic normality, exponential GARCH, invertible models, quasi-maximum likelihood, stochastic recurrence equation, strong consistency, volatility models",

author = "Olivier Wintenberger",

year = "2013",

month = dec,

doi = "10.1111/sjos.12038",

language = "English",

volume = "40",

pages = "846--867",

journal = "Scandinavian Journal of Statistics",

issn = "0303-6898",

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TY - JOUR

T1 - Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model

AU - Wintenberger, Olivier

PY - 2013/12

Y1 - 2013/12

KW - asymptotic normality

KW - exponential GARCH

KW - invertible models

KW - quasi-maximum likelihood

KW - stochastic recurrence equation

KW - strong consistency

KW - volatility models

U2 - 10.1111/sjos.12038

DO - 10.1111/sjos.12038

M3 - Journal article

SN - 0303-6898

VL - 40

SP - 846

EP - 867

JO - Scandinavian Journal of Statistics

JF - Scandinavian Journal of Statistics

IS - 4

ER -