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