Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors (Q5860900)
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scientific article; zbMATH DE number 7484443
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors |
scientific article; zbMATH DE number 7484443 |
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Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors (English)
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4 March 2022
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AR model
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empirical likelihood
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GARCH sequence
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tail index
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