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15-022/III - On the Invertibility of EGARCH(p,q)


  • Authors
    Guillaume Gaetan Martinet, Paris Tech, France, Columbia University, USA; Michael McAleer, National Tsing Hua University, Taiwan, Erasmus University Rotterdam, the Netherlands, Complutense University of Madrid, Spain.
  • Publication date
    February 12, 2015
  • Keywords
    Leverage, asymmetry, existence, stochastic process, asymptotic properties, invertibility
  • JEL
    C22, C52, C58, G32