Pages that link to "Item:Q894634"
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The following pages link to GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference (Q894634):
Displayed 6 items.
- Volatility regressions with fat tails (Q2227065) (← links)
- Correcting outliers in GARCH models: a weighted forward approach (Q2338226) (← links)
- Data-driven and distribution-free estimation of tailed-related risks for GARCH models using composite asymmetric least squares regression (Q2667134) (← links)
- Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models (Q4997698) (← links)
- Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors (Q5860900) (← links)
- Diagnostic Testing of Finite Moment Conditions for the Consistency and Root-N Asymptotic Normality of the GMM and M Estimators (Q6190331) (← links)