Fourier-type estimation of the power GARCH model with stable-Paretian innovations

DOI10.1007/S00184-015-0560-XzbMATH Open1349.62400OpenAlexW1957275247MaRDI QIDQ288103FDOQ288103

Authors: C. Francq, Simos G. Meintanis 

Publication date: 24 May 2016

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: http://elib.bsu.by/handle/123456789/51931

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zbMATH Keywords

GARCH modelempirical characteristic functionheavy-tailed distributionminimum distance estimation

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited In (3)

• Indirect inference for time series using the empirical characteristic function and control variates
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• CHARACTERIZATIONS OF MULTINORMALITY AND CORRESPONDING TESTS OF FIT, INCLUDING FOR GARCH MODELS

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