Tail behavior and OLS estimation in AR-GARCH models

DOI10.5705/SS.2009.066zbMath1223.62148OpenAlexW2146678171WikidataQ61915680 ScholiaQ61915680MaRDI QIDQ3094081

Theis Lange

Publication date: 21 October 2011

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/96f6dc83bd0776a348d2e0cc1a8994237668e4ee

zbMATH Keywords

tail behaviorheavy tailsARMA-GARCH

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Statistics of extreme values; tail inference (62G32)

Related Items (6)

ASYMPTOTIC INFERENCE FOR AR MODELS WITH HEAVY-TAILED G-GARCH NOISES ⋮ Self-normalized Cramér-type moderate deviations under dependence ⋮ On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing ⋮ Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors ⋮ Robust inference in conditionally heteroskedastic autoregressions ⋮ LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise

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