A One Line Derivation of EGARCH
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- Michael McAleer & Christian M. Hafner, 2014. "A One Line Derivation of EGARCH," Documentos de Trabajo del ICAE 2014-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Michael McAleer & Christian M. Hafner, 2014. "A One Line Derivation of EGARCH," Tinbergen Institute Discussion Papers 14-069/III, Tinbergen Institute.
- McAleer, M.J. & Hafner, C.M., 2014. "A One Line Derivation of EGARCH," Econometric Institute Research Papers EI2014-20, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
References listed on IDEAS
- Nelson, Daniel B., 1990. "ARCH models as diffusion approximations," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 7-38.
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- Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
- Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
- Michael McAleer & Suhejla Hoti & Felix Chan, 2009. "Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility," Econometric Reviews, Taylor & Francis Journals, vol. 28(5), pages 422-440.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
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Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Olivier Wintenberger, 2013.
"Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model,"
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Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(4), pages 846-867, December.
- Wintenberger, Olivier, 2013. "Continuous invertibility and stable QML estimation of the EGARCH(1,1) model," MPRA Paper 46027, University Library of Munich, Germany.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
More about this item
KeywordsLeverage; asymmetry; existence; random coefficient models; complex nonlinear moving average process;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-06-22 (All new papers)
- NEP-ECM-2014-06-22 (Econometrics)
- NEP-ETS-2014-06-22 (Econometric Time Series)
- NEP-ORE-2014-06-22 (Operations Research)
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