Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors

DOI10.1080/07474938.2016.1224024zbMath1490.62286OpenAlexW2511532413MaRDI QIDQ5860900

Chenxue Li, Rong Mao Zhang, Liang Peng

Publication date: 4 March 2022

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

Full work available at URL: https://doi.org/10.1080/07474938.2016.1224024

zbMATH Keywords

tail indexempirical likelihoodAR modelGARCH sequence

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32)

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TEST FOR ZERO MEDIAN OF ERRORS IN AN ARMA–GARCH MODEL ⋮ MCMC interweaving strategy for estimating stochastic volatility model and its application ⋮ On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing ⋮ Test for Zero Mean of Errors In An ARMA-GGARCH Model After Using A Median Inference ⋮ Empirical likelihood test for the application of swqmele in fitting an arma‐garch model

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