LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise

DOI10.1016/j.jeconom.2020.06.011OpenAlexW3107830443MaRDI QIDQ2116336

Shiqing Ling, Yu'an Li, XingFa Zhang, Rong Mao Zhang

Publication date: 16 March 2022

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.06.011

zbMATH Keywords

heavy tailsAR modelG-GARCH-modelLADE

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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