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dc.contributor.authorZakoïan, Jean-Michel
dc.contributor.authorWintenberger, Olivier
dc.contributor.authorFrancq, Christian
dc.date.accessioned2012-11-15T09:15:10Z
dc.date.available2012-11-15T09:15:10Z
dc.date.issued2013
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/10571
dc.language.isoenen
dc.subjectTail indexen
dc.subjectStrict stationarityen
dc.subjectQuasi-Maximum Likelihooden
dc.subjectlog-GARCHen
dc.subjectEGARCHen
dc.subject.ddc519en
dc.subject.classificationjelC13
dc.subject.classificationjelC22
dc.titleGARCH models without positivity constraints: Exponential or Log GARCH?en
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherECONOMIE QUANTITATIVE, INTEGRATION, POLITIQUES PUBLIQUES ET ECONOMETRIE (EQUIPPE) http://ustl1.univ-lille1.fr/projetUstl/chercheurs/labos/equippe.htm Université Lille 1 - Sciences et Technologies;France
dc.contributor.editoruniversityotherLaboratoire de Finance Assurance (LFA) http://www.crest.fr/content/view/41/100/ Centre de Recherche en Économie et STatistique (CREST);France
dc.description.abstractenThis paper provides a probabilistic and statistical comparison of the log-GARCH and EGARCH models, which both rely on multiplicative volatility dynamics without positivity constraints. We compare the main probabilistic properties (strict stationarity, existence of moments, tails) of the EGARCH model, which are already known, with those of an asymmetric version of the log-GARCH. The quasi-maximum likelihood estimation of the log-GARCH parameters is shown to be strongly consistent and asymptotically normal. Similar estimation results are only available for particular EGARCH models, and under much stronger assumptions. The comparison is pursued via simulation experiments and estimation on real data.en
dc.relation.isversionofjnlnameJournal of Econometrics
dc.relation.isversionofjnlvol177
dc.relation.isversionofjnlissue1
dc.relation.isversionofjnldate2013
dc.relation.isversionofjnlpages34-46
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.jeconom.2013.05.004
dc.relation.isversionofjnlpublisherElsevier
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.description.submittednonen


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