Test for tail index constancy of GARCH innovations based on conditional volatility
DOI10.1007/s10463-018-0669-6zbMath1432.62302OpenAlexW2804853556WikidataQ129794656 ScholiaQ129794656MaRDI QIDQ2317888
Publication date: 13 August 2019
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10463-018-0669-6
heavy-tailed distributionGARCH modelconditional volatilityconstancy test for tail indexPTTGARCH model
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03)
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