Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters
DOI10.1214/009053605000000840zbMath1091.62082arXivmath/0605613MaRDI QIDQ2493561
Thomas Mikosch, Daniel Straumann
Publication date: 21 June 2006
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0605613
regular variation; mixing; infinite variance; GARCH process; stable distribution; stochastic recurrence equation; Gaussian quasi-maximum likelihood
60E07: Infinitely divisible distributions; stable distributions
62F12: Asymptotic properties of parametric estimators
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60G42: Martingales with discrete parameter
60F05: Central limit and other weak theorems
60G70: Extreme value theory; extremal stochastic processes
62G32: Statistics of extreme values; tail inference
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