Estimating stable latent factor models by indirect inference

DOI10.1016/J.JECONOM.2018.03.014zbMath1452.62747OpenAlexW3125218271MaRDI QIDQ1754526

Giorgio Calzolari, Roxana Halbleib

Publication date: 31 May 2018

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.03.014

zbMATH Keywords

GARCH modelsindirect inferencelatent factor modelsdiscrete spectral measuresmultivariate Student's \(t\) distributionsymmetric multivariate \(\alpha\)-stable distribution

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Hypothesis testing in multivariate analysis (62H15)

Related Items (6)

Indirect inference for locally stationary ARMA processes with stable innovations ⋮ Robust estimation of the number of factors for the pair-elliptical factor models ⋮ Mining the factor zoo: estimation of latent factor models with sufficient proxies ⋮ A two-step estimation procedure for locally stationary ARMA processes with tempered stable innovations ⋮ Observation-driven filtering of time-varying parameters using moment conditions ⋮ Robust factor number specification for large-dimensional elliptical factor model

Uses Software

• STABLE

Cites Work

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