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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- GonzÃ¡lez-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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