Estimating GARCH-type models with symmetric stable innovations: indirect inference versus maximum likelihood
type: Item
instance of: scholarly article
title: Estimating GARCH-type models with symmetric stable innovations: indirect inference versus maximum likelihood
zbMATH Open document ID: 1506.62032
author: Giorgio Calzolari
author: Roxana Halbleib
author: Alessandro Parrini
published in: Computational Statistics and Data Analysis
publication date: 2018-11-23T00:00:00Z
full work available at URL: urn:nbn:de:bsz:352-290148
Mathematics Subject Classification ID: 62-08
Mathematics Subject Classification ID: 60E07
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62F10
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6983971
zbMATH Keywords: symmetric \(\alpha\)-stable distribution
zbMATH Keywords: GARCH-type models
zbMATH Keywords: indirect inference
zbMATH Keywords: maximum likelihood
zbMATH Keywords: leverage effects
zbMATH Keywords: Student's \(t\) distribution
describes a project that uses: STABLE
MaRDI profile type: Publication
OpenAlex ID: W1970123062
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DOI: 10.1016/J.CSDA.2013.07.028
description: scientific article; zbMATH DE number 6983971