Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters (Q2493561): Difference between revisions
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Revision as of 08:20, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters |
scientific article |
Statements
Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters (English)
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21 June 2006
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GARCH process
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Gaussian quasi-maximum likelihood
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regular variation
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infinite variance
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stable distribution
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stochastic recurrence equation
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mixing
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