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Paolo Zaffaroni

Public reference bibliography and cataloged PDF materials authored or published by Paolo Zaffaroni.

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Whittle estimation of EGARCH and other exponential volatility models

Year: 2009 • Source: hal.science • Listed PDF

The strong consistency and asymptotic normality of the Whittle estimate of the parameters in a class of exponential volatility processes are established. Our main focus here are the EGARCH model of [Nelson, D. 1991. Cond...