Fourier-type estimation of the power GARCH model with stable-Paretian innovations
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Cites work
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- Large Sample Properties of Generalized Method of Moments Estimators
- Likelihood-based inference with singular information matrix
- M-estimation for autoregression with infinite variance
- Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes
- Maximum likelihood estimation of stable Paretian models.
- Modeling asset returns with alternative stable distributions*
- Modeling fat tails in stock returns: a multivariate stable-GARCH approach
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- Numerical calculation of stable densities and distribution functions
- On estimating the cumulant generating function of linear processes
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- Stable Paretian models in finance
- Stationarity of GARCH processes and of some nonnegative time series
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Cited in
(6)- Fourier inference for stochastic volatility models with heavy-tailed innovations
- Use of tempered stable distributions in GARCH(1,1) models
- Indirect inference for time series using the empirical characteristic function and control variates
- Characteristic function-based inference for GARCH models with heavy-tailed innovations
- Characterizations of multinormality and corresponding tests of fit, including for GARCH models
- Diagnostic analytics for a GARCH model under skew-normal distributions
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