| Title: | Exponential Conditional Volatility Models |
| Authors: | Harvey, Andrew |
| Keywords: | Duration models gamma distribution general error distribution heteroskedasticity leverage score Student's t |
| Issue Date: | 24-Aug-2010 |
| Publisher: | Faculty of Economics |
| Series/Report no.: | CWPE 1040 |
| Abstract: | The asymptotic distribution of maximum likelihood estimators is derived for a class of exponential generalized autoregressive conditional heteroskedasticity (EGARCH) models. The result carries over to models for duration and realised volatility that use an exponential link function. A key feature of the model formulation is that the dynamics are driven by the score. |
| URI: | http://www.dspace.cam.ac.uk/handle/1810/242065 |
| Appears in Collections: | Cambridge Working Papers in Economics |
Files in This Item:
|
| Additional resources for this item |
|---|
| search for alternative versions in eresources@cambridge |
| retrieve citation metadata in EndNote format |
This item has been accessed 122 times.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.