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15-131/III - A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model”


  • Authors
    Francisco Blasques, VU University Amsterdam, the Netherlands; Paolo Gorgi, VU University Amsterdam, the Netherlands, University of Padua, Italy; Siem Jan Koopman, VU University Amsterdam, the Netherlands, Aarhus University, Denmark; Olivier Wintenberger, University of Copenhagen, Denmark, Sorbonne Universités, UPMC University Paris, Sorbonne Universities, France
  • Publication date
    December 11, 2015
  • Keywords
    invertibility, quasi-maximum likelihood estimator, volatility models
  • JEL
    C01, C22, C51