Smoothed empirical likelihood for GARCH models with heavy-tailed errors

DOI10.1080/03610926.2014.978947zbMath1349.62413OpenAlexW2520047195MaRDI QIDQ2834728

Xingtong Chen, Song Zhu, Jin-yu Li

Publication date: 23 November 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2014.978947

zbMATH Keywords

confidence regionGARCHempirical likelihoodheavy-tail

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

Related Items (1)

Empirical likelihood for special self-exciting threshold autoregressive models with heavy-tailed errors

Cites Work

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