Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models
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Publication:2073226
DOI10.3150/21-BEJ1357OpenAlexW3082747427MaRDI QIDQ2073226
Christian Francq, Jean-Michel Zakoian
Publication date: 1 February 2022
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/journals/bernoulli/volume-28/issue-1/Adaptiveness-of-the-empirical-distribution-of-residuals-in-semi-parametric/10.3150/21-BEJ1357.full
GARCHadaptive estimationempirical distribution of residualsstochastic equicontinuityconditional VaRasymptotic distribution of quantiles
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Cites Work
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