688 citations
- Centre de Recherche en Mathématiques de la DécisionFR152 papers
- Centre National de la Recherche ScientifiqueFR97 papers
- Université Paris Sciences et LettresFR39 papers
- Centre de Recherche en Économie et StatistiqueFR23 papers
- Université Paris CitéFR19 papers
- École PolytechniqueFR15 papers
- Sorbonne UniversitéFR14 papers
- École Normale Supérieure - PSLFR10 papers
- Institut national de recherche en sciences et technologies du numériqueFR10 papers
- Institut Universitaire de FranceFR10 papers
- University of WarwickGB10 papers
- Département de mathématiques et applicationsFR9 papers
Showing 2012 · math.STShow all
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math.ST2012★ 75 cited
Continuous invertibility and stable QML estimation of the EGARCH(1,1) model
Olivier Wintenberger
We introduce the notion of continuous invertibility on a compact set for volatility models driven by a Stochastic Recurrence Equation (SRE). We prove the strong consistency of the…
math.ST2012
GARCH models without positivity constraints: Exponential or Log GARCH?
Christian Francq, Olivier Wintenberger, Jean-Michel Zakoïan
This paper provides a probabilistic and statistical comparison of the log-GARCH and EGARCH models, which both rely on multiplicative volatility dynamics without positivity constrai…
math.ST2012★ 1 cited
Comments on "Confidence distribution, the frequentist distribution estimator of a parameter --- a review" by Min-ge Xie and Kesar Singh
Christian P. Robert
This note is a discussion of the paper "Confidence distribution" by Min-ge Xie and Kesar Singh, to appear in the International Statistical Review.