GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference (Q894634)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference |
scientific article; zbMATH DE number 6515266
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference |
scientific article; zbMATH DE number 6515266 |
Statements
GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference (English)
0 references
2 December 2015
0 references
GEL
0 references
GARCH
0 references
tail trimming
0 references
heavy tails
0 references
robust inference
0 references
efficient moment estimation
0 references
expected shortfall
0 references
Russian Ruble
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.8808638453483582
0 references
0.8242692351341248
0 references
0.8196873068809509
0 references
0.7832438349723816
0 references
