Estimating GARCH-type models with symmetric stable innovations: indirect inference versus maximum likelihood (Q1623518): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
Import241208061232 (talk | contribs)
Normalize DOI.
 
(5 intermediate revisions by 5 users not shown)
Property / DOI
 
Property / DOI: 10.1016/j.csda.2013.07.028 / rank
Normal rank
 
Property / describes a project that uses
 
Property / describes a project that uses: STABLE / rank
 
Normal rank
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W1970123062 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalized autoregressive conditional heteroscedasticity / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Method for Simulating Stable Random Variables / rank
 
Normal rank
Property / cites work
 
Property / cites work: Maximum likelihood estimation of stable Paretian models. / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the relation between GARCH and stable processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5512461 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation of stable distributions by indirect inference / rank
 
Normal rank
Property / cites work
 
Property / cites work: Indirect Estimation of α-Stable Distributions and Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Indirect estimation of \(\alpha \)-stable stochastic volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Indirect estimation of elliptical stable distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Some Improvements in Numerical Evaluation of Symmetric Stable Density and Its Derivatives / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stationarity of stable power-GARCH processes. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical calculation of stable densities and distribution functions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stable GARCH models for financial time series / rank
 
Normal rank
Property / cites work
 
Property / cites work: Likelihood-free Bayesian inference for \(\alpha\)-stable models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3673748 / rank
 
Normal rank
Property / DOI
 
Property / DOI: 10.1016/J.CSDA.2013.07.028 / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 23:17, 10 December 2024

scientific article
Language Label Description Also known as
English
Estimating GARCH-type models with symmetric stable innovations: indirect inference versus maximum likelihood
scientific article

    Statements

    Estimating GARCH-type models with symmetric stable innovations: indirect inference versus maximum likelihood (English)
    0 references
    0 references
    0 references
    0 references
    23 November 2018
    0 references
    symmetric \(\alpha\)-stable distribution
    0 references
    GARCH-type models
    0 references
    indirect inference
    0 references
    maximum likelihood
    0 references
    leverage effects
    0 references
    Student's \(t\) distribution
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references