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Latest revision as of 04:10, 11 July 2024

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GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
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    GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference (English)
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    2 December 2015
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    GEL
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    GARCH
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    tail trimming
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    heavy tails
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    robust inference
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    efficient moment estimation
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    expected shortfall
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    Russian Ruble
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