Power and thick tails: an ARCH process example with extreme value as test statistic

DOI10.1080/03610918.2018.1491989OpenAlexW2912989890MaRDI QIDQ5087959

Aram Balagyozyan, Barry K. Ma, Christos I. Giannikos

Publication date: 4 July 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2018.1491989

zbMATH Keywords

powerextreme valuethick tail

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• FinTS

Cites Work

• Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
• Bimodal t-ratios: the impact of thick tails on inference
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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