Smoothed empirical likelihood for GARCH models with heavy-tailed errors
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Publication:2834728
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Cites work
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- EMPIRICAL LIKELIHOOD FOR GARCH MODELS
- Empirical likelihood and general estimating equations
- Empirical likelihood for AR-ARCH models based on LAD estimation
- Empirical likelihood for the smoothed LAD estimator in infinite variance autoregressive models
- Empirical likelihood ratio confidence intervals for a single functional
- Empirical likelihood ratio confidence regions
- Estimation and tests for power-transformed and threshold GARCH models
- GARCH processes: structure and estimation
- Generalized autoregressive conditional heteroscedasticity
- Inference in Arch and Garch Models with Heavy-Tailed Errors
- Least absolute deviations estimation for ARCH and GARCH models
- Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
- Stable Paretian models in finance
Cited in
(7)- Empirical likelihood for special self-exciting threshold autoregressive models with heavy-tailed errors
- Least‐squares estimation of GARCH(1,1) models with heavy‐tailed errors
- Empirical likelihood parametric estimations for GARCH-M models
- scientific article; zbMATH DE number 5002302 (Why is no real title available?)
- Simultaneous parameter estimation and state smoothing of complex GARCH process in the presence of additive noise
- GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
- EMPIRICAL LIKELIHOOD FOR GARCH MODELS
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