Estimation and tests for TGTACH$\bm{(1, 1)}$ models with heavy-tailed errors: A uniform framework

DOI10.1360/N012015-00215zbMATH Open1499.62328OpenAlexW2297260314MaRDI QIDQ5063704

Hui Wang

Publication date: 21 March 2022

Published in: SCIENTIA SINICA Mathematica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1360/n012015-00215

zbMATH Keywords

symmetry testsheavy-tailed TGARCH(1,1) modelpercentile-\(t\) bootstrap subsample methodstrict stationarity tests

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Asymptotic properties of parametric tests (62F05)

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