On the tail index inference for heavy-tailed GARCH-type innovations (Q263253)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the tail index inference for heavy-tailed GARCH-type innovations |
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On the tail index inference for heavy-tailed GARCH-type innovations (English)
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4 April 2016
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tail index
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Hill's estimator
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power-transformed and threshold GARCH model
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ARMA-GARCH model
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residuals
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smoothing Hill plot
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change point test
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