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

DOI10.1016/J.JECONOM.2020.06.011OpenAlexW3107830443MaRDI QIDQ2116336FDOQ2116336

Authors: Shiqing Ling, XingFa Zhang, Rong-Mao Zhang, Yuan Li 

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)

Cites Work

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• Tail behavior and OLS estimation in AR-GARCH models
• Threshold heteroskedastic models
• The global weighted lad estimators for finite/infinite variance ARMA\((p,q)\) models
• On the estimation of the heavy-tail exponent in time series using the max-spectrum
• Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models
• LADE-based inference for ARMA models with unspecified and heavy-tailed heteroscedastic noises
• Bayesian estimation of ARMA-GARCH model of weekly foreign exchange rates
• On functional limits of short- and long-memory linear processes with GARCH(1,1) noises
• Asymptotic inference for AR models with heavy-tailed G-GARCH noises

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