Pages that link to "Item:Q894634"
From MaRDI portal
The following pages link to GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference (Q894634):
Displaying 11 items.
- Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations (Q1927104) (← links)
- Volatility regressions with fat tails (Q2227065) (← links)
- Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors (Q2256754) (← links)
- Correcting outliers in GARCH models: a weighted forward approach (Q2338226) (← links)
- Data-driven and distribution-free estimation of tailed-related risks for GARCH models using composite asymmetric least squares regression (Q2667134) (← links)
- Smoothed empirical likelihood for GARCH models with heavy-tailed errors (Q2834728) (← links)
- Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models (Q4997698) (← links)
- Least‐squares estimation of GARCH(1,1) models with heavy‐tailed errors (Q5093957) (← links)
- ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS (Q5187620) (← links)
- Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors (Q5860900) (← links)
- Diagnostic Testing of Finite Moment Conditions for the Consistency and Root-N Asymptotic Normality of the GMM and M Estimators (Q6190331) (← links)
