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

DOI10.1016/J.JECONOM.2020.06.011MaRDI QIDQ2116336zbMATH OpenOpenAlexFDO

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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