Statistical inference in regression with heavy-tailed integrated variables

DOI10.1016/S0895-7177(01)00123-6zbMath1003.62070OpenAlexW2078973619MaRDI QIDQ1600535

Svetlozar T. Rachev, Stefan Mittnik, Vygantas Paulauskas

Publication date: 13 June 2002

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0895-7177(01)00123-6

zbMATH Keywords

cointegrationinfinite variancefinancial modelingintegrated variables

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)

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