Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/125132
Authors: 
Blasques, Francisco
Gorgi, Paolo
Koopman, Siem Jan
Wintenberger, Olivier
Year of Publication: 
2015
Series/Report no.: 
Tinbergen Institute Discussion Paper 15-131/III
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.
Subjects: 
invertibility
quasi-maximum likelihood estimator
volatility models
JEL: 
C01
C22
C51
Document Type: 
Working Paper

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