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Robust inference in AR-G/GARCH models under model uncertainty - MaRDI portal

Robust inference in AR-G/GARCH models under model uncertainty

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Publication:6546439

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DOI10.1214/24-ejs2244MaRDI QIDQ6546439

Shang-Yuan Shiu, Hsin-Chieh Wong

Publication date: 29 May 2024

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

zbMATH Keywords

model selection tail behavior heavy tails model averaging stable distribution AR-G/GARCH Mallows-type criteria

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

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