Nonstationary GARCH with \(t\)-distributed innovations
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Publication:1667982
DOI10.1016/j.econlet.2015.11.016zbMath1398.62245OpenAlexW2184289640MaRDI QIDQ1667982
Rasmus Søndergaard Pedersen, Anders Rahbek
Publication date: 31 August 2018
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2015.11.016
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
Related Items (5)
Inference for asymmetric exponentially weighted moving average models ⋮ Stable limits for the Gaussian QMLE in the non-stationary GARCH(1,1) model ⋮ Asymptotic normality of the MLE in the level-effect ARCH model ⋮ TESTING GARCH-X TYPE MODELS ⋮ Testing the existence of moments for GARCH processes
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