AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL
نویسندگان
چکیده
منابع مشابه
An Almost Closed Form Estimator for the EGARCH model
The EGARCH is a popular model for discrete time volatility since it allows for asymmetric effects and naturally ensures positivity even when including exogenous variables. Estimation and inference is usually done via maximum likelihood. Although some progress has been made recently, a complete distribution theory of MLE for EGARCH models is still missing. Furthermore, the estimation procedure i...
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ژورنال
عنوان ژورنال: Econometric Theory
سال: 2016
ISSN: 0266-4666,1469-4360
DOI: 10.1017/s0266466616000256