Exponential conditional volatility models
The asymptotic distribution of maximum likelihood estimators is derived for a class of exponential generalized autoregressive conditional heteroskedasticity (EGARCH) models. The result carries over to models for duration and realised volatility that use an exponential link function. A key feature of the model formulation is that the dynamics are driven by the score.
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| Date of creation: | Sep 2010 |
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| Handle: | RePEc:cte:wsrepe:ws103620 |
| Contact details of provider: | Postal: Phone: 6249847 Fax: 6249849 Web page: http://portal.uc3m.es/portal/page/portal/dpto_estadistica More information through EDIRC
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- Gloria González-Rivera & Zeynep Senyuz & Emre Yoldas, 2011.
"Autocontours: Dynamic Specification Testing,"
Journal of Business & Economic Statistics,
Taylor & Francis Journals, vol. 29(1), pages 186-200, January.
- González-Rivera, Gloria & Senyuz, Zeynep & Yoldas, Emre, 2011. "Autocontours: Dynamic Specification Testing," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(1), pages 186-200.
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