14-069/III - A One Line Derivation of EGARCH

• Authors
  Michael McAleer, National Tsing Hua University, Taiwan, Erasmus University Rotterdam, the Netherlands, Complutense University of Madrid, Spain; Christian M. Hafner, Université Catholique de Louvain, Belgium
• Publication date
  June 16, 2014

• Keywords
  Leverage, asymmetry, existence, random coefficient models, complex nonlinear moving average process
• JEL
  C22, C52, C58, G32