TARGETING ESTIMATION OF CCC-GARCH MODELS WITH INFINITE FOURTH MOMENTS

DOI10.1017/S0266466615000316zbMath1441.62834OpenAlexW3125160501MaRDI QIDQ2801995

Rasmus Søndergaard Pedersen

Publication date: 22 April 2016

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466615000316

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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