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