Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models
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Publication:6175549
DOI10.1016/j.jeconom.2023.04.011OpenAlexW4381430776MaRDI QIDQ6175549
Rong Mao Zhang, Yaxing Yang, Dong Li, Yuxin Tao
Publication date: 18 August 2023
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2023.04.011
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)
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