GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference

DOI10.1016/j.jeconom.2015.09.001zbMath1419.62231OpenAlexW1802066084MaRDI QIDQ894634

N. E. Zubov

Publication date: 2 December 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2123/13795

zbMATH Keywords

heavy tailsGARCHexpected shortfallrobust inferencetail trimmingefficient moment estimationGELRussian Ruble

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05)

Related Items (6)

Data-driven and distribution-free estimation of tailed-related risks for GARCH models using composite asymmetric least squares regression ⋮ Diagnostic Testing of Finite Moment Conditions for the Consistency and Root-N Asymptotic Normality of the GMM and M Estimators ⋮ Volatility regressions with fat tails ⋮ Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models ⋮ Correcting outliers in GARCH models: a weighted forward approach ⋮ Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors

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