Robust estimation and inference for heavy tailed GARCH (Q2515512)
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scientific article; zbMATH DE number 6470452
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| English | Robust estimation and inference for heavy tailed GARCH |
scientific article; zbMATH DE number 6470452 |
Statements
Robust estimation and inference for heavy tailed GARCH (English)
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5 August 2015
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GARCH
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heavy tails
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QML
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robust inference
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tail trimming
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0.8808638453483582
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0.8420487642288208
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0.837334156036377
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0.8248293399810791
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0.8238766193389893
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