GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference (Q894634): Difference between revisions
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Revision as of 02:32, 5 March 2024
scientific article
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English | GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference |
scientific article |
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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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