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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