Interval estimation of the tail index of a GARCH(1,1) model
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Publication:1936534
DOI10.1007/s11749-011-0264-0zbMath1259.62078OpenAlexW2095354571MaRDI QIDQ1936534
Ngai Hang Chan, Liang Peng, Rong Mao Zhang
Publication date: 5 February 2013
Published in: Test (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11749-011-0264-0
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Related Items (8)
Empirical likelihood inference for INAR(1) model with explanatory variables ⋮ TEST FOR ZERO MEDIAN OF ERRORS IN AN ARMA–GARCH MODEL ⋮ Penalized empirical likelihood inference for the GINAR(p) model ⋮ Empirical likelihood based inference for conditional Pareto-type tail index ⋮ Test for Zero Mean of Errors In An ARMA-GGARCH Model After Using A Median Inference ⋮ Empirical likelihood based confidence intervals for the tail index when \({\gamma}<-1/2\) ⋮ Empirical likelihood for linear and log-linear INGARCH models ⋮ Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors
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