GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference (Q894634)
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scientific article; zbMATH DE number 6515266
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference |
scientific article; zbMATH DE number 6515266 |
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GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference (English)
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2 December 2015
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GEL
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GARCH
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tail trimming
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heavy tails
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robust inference
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efficient moment estimation
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expected shortfall
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Russian Ruble
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