Econometric modeling in the presence of heavy-tailed innovations: a survey of some recent advances

DOI10.1080/15326349708807454zbMath0888.90034OpenAlexW2080555440MaRDI QIDQ4371858

Jeong-Ryeol Kim, Svetlozar T. Rachev, Stefan Mittnik

Publication date: 21 January 1998

Published in: Communications in Statistics. Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349708807454

zbMATH Keywords

surveystable non-Gaussian disturbances

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (5)

Cointegrated processes with infinite variance innovations ⋮ Maximum likelihood estimation of stable Paretian models. ⋮ Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence ⋮ Statistical inference in regression with heavy-tailed integrated variables ⋮ Maximum likelihood estimators in regression models with infinite variance innovations

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