MODELING NONSTATIONARY AND LEPTOKURTIC FINANCIAL TIME SERIES

DOI10.1017/S0266466614000528zbMath1441.62644MaRDI QIDQ3450343

Ying Chen, Vladimir Spokoiny

Publication date: 3 November 2015

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

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Economic time series analysis (91B84)

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