Pages that link to "Item:Q2515512"
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The following pages link to Robust estimation and inference for heavy tailed GARCH (Q2515512):
Displayed 9 items.
- On the measurement and treatment of extremes in time series (Q508717) (← links)
- GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference (Q894634) (← links)
- Adjusted extreme conditional quantile autoregression with application to risk measurement (Q2039159) (← links)
- Non-standard inference for augmented double autoregressive models with null volatility coefficients (Q2295807) (← links)
- Correcting outliers in GARCH models: a weighted forward approach (Q2338226) (← links)
- Robust parameter estimation of regression model with AR(p) error terms (Q5085029) (← links)
- Robust bootstrap forecast densities for GARCH returns and volatilities (Q5106994) (← links)
- M-estimates for the multiplicative error model (Q5107692) (← links)
- Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors (Q5860900) (← links)