Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters (Q2493561): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
Changed an Item |
||
| Property / arXiv ID | |||
| Property / arXiv ID: math/0605613 / rank | |||
Normal rank | |||
Revision as of 07:53, 19 April 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)
0 references
21 June 2006
0 references
GARCH process
0 references
Gaussian quasi-maximum likelihood
0 references
regular variation
0 references
infinite variance
0 references
stable distribution
0 references
stochastic recurrence equation
0 references
mixing
0 references
