Now showing items 1-2 of 2

    • Exponential Conditional Volatility Models 

      Harvey, Andrew (Faculty of Economics, 2010-08-24)
      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 ...
    • Exponential Conditional Volatility Models 

      Harvey, A. (Department of Applied Economics, 2010-08-26)
      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 ...