ESTIMATION OF THE MAXIMAL MOMENT EXPONENT OF A GARCH(1,1) SEQUENCE
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Publication:4561969
DOI10.1017/S0266466603194030zbMath1441.62609OpenAlexW1999369685MaRDI QIDQ4561969
Lajos Horváth, István Berkes, Piotr S. Kokoszka
Publication date: 14 December 2018
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466603194030
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)
Related Items (7)
TEST FOR ZERO MEDIAN OF ERRORS IN AN ARMA–GARCH MODEL ⋮ On robust tail index estimation ⋮ Loss function-based change point detection in risk measures ⋮ CHANGE POINT TESTS FOR THE TAIL INDEX OFβ-MIXING RANDOM VARIABLES ⋮ Robust score and portmanteau tests of volatility spillover ⋮ On the measurement and treatment of extremes in time series ⋮ Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors
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