Blasques, Francisco Gorgi, Paolo Koopman, Siem Jan Wintenberger, Olivier
Year of Publication:
Tinbergen Institute Discussion Paper 15-131/III
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.