Parametric inference and forecasting in continuously invertible volatility models
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Francq, Christian & Wintenberger, Olivier & Zakoïan, Jean-Michel, 2013.
"GARCH models without positivity constraints: Exponential or log GARCH?,"
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More about this item
KeywordsInvertibility; volatility models; parametric estimation; strong consistency; asymptotic normality; asymmetric GARCH; exponential GARCH; stochastic recurrence equation; stationarity;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-07-02 (All new papers)
- NEP-ECM-2011-07-02 (Econometrics)
- NEP-ETS-2011-07-02 (Econometric Time Series)
- NEP-FOR-2011-07-02 (Forecasting)
- NEP-ORE-2011-07-02 (Operations Research)
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