Estimation of the parameters of symmetric stable ARMA and ARMA–GARCH models

DOI10.1080/02664763.2021.1928019OpenAlexW3163576231MaRDI QIDQ5867708

N. S. Upadhye, Aastha M. Sathe

Publication date: 14 September 2022

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1911.09985

zbMATH Keywords

parameter estimationsimulationstable distributionsARMA-GARCH models

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

Cites Work

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• The modified Yule-Walker method for \(\alpha\)-stable time series models
• Estimating GARCH-type models with symmetric stable innovations: indirect inference versus maximum likelihood
• Generalized autoregressive conditional heteroscedasticity
• Parameter estimation for ARMA models with infinite variance innovations
• Stable GARCH models for financial time series
• Recursive estimation of mixed autoregressive-moving average order
• Estimation of the parameters of multivariate stable distributions
• A method for fitting stable autoregressive models using the autocovariation function

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