14-096/III - On the Invertibility of EGARCH

• Authors
  Guillaume Gaetan Martinet, Paris Tech, France; Columbia University, United States; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain
• Publication date
  July 25, 2014

• Keywords
  Leverage, asymmetry, existence, stochastic process, asymptotic properties, invertibility
• JEL
  C22, C52, C58, G32