Characteristic function-based inference for GARCH models with heavy-tailed innovations

DOI10.1080/03610918.2015.1060332zbMath1373.62082OpenAlexW2173800367MaRDI QIDQ5358337

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Publication date: 20 September 2017

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

Full work available at URL: https://doi.org/10.1080/03610918.2015.1060332

zbMATH Keywords

characteristic functionminimum distance estimationheavy-tailed distributionGARCH model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

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