On the tail index inference for heavy-tailed GARCH-type innovations (Q263253)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: On the tail index inference for heavy-tailed GARCH-type innovations |
scientific article; zbMATH DE number 6562735
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the tail index inference for heavy-tailed GARCH-type innovations |
scientific article; zbMATH DE number 6562735 |
Statements
On the tail index inference for heavy-tailed GARCH-type innovations (English)
0 references
4 April 2016
0 references
tail index
0 references
Hill's estimator
0 references
power-transformed and threshold GARCH model
0 references
ARMA-GARCH model
0 references
residuals
0 references
smoothing Hill plot
0 references
change point test
0 references
0 references
0 references
0 references
0 references
0 references
