Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2015-12-11
Number: 15-131/III
Author-Name: Francisco Blasques
Author-Workplace-Name: VU University Amsterdam, the Netherlands
Author-Name: Paolo Gorgi
Author-Workplace-Name: VU University Amsterdam, the Netherlands, University of Padua, Italy
Author-Name: Siem Jan Koopman
Author-Workplace-Name: VU University Amsterdam, the Netherlands, Aarhus University, Denmark
Author-Name: Olivier Wintenberger
Author-Workplace-Name: University of Copenhagen, Denmark, Sorbonne Universités, UPMC University Paris, Sorbonne Universities, France
Title: A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model”
Abstract: We revisit Wintenberger (2013) on the continuous invertibility of the EGARCH(1,1) model. We note that the definition of continuous invertibility adopted in Wintenberger (2013) may not always be sufficient to deliver strong consistency of the QMLE. We also take the opportunity to provide other small clarifications and additions.
Classification-JEL: C01, C22, C51
Keywords: invertibility, quasi-maximum likelihood estimator, volatility models
File-Url: https://papers.tinbergen.nl/15131.pdf
File-Format: application/pdf
File-Size: 205630 bytes
Handle: RePEc:tin:wpaper:20150131