Estimation and tests for TGTACH\bm{(1, 1)} models with heavy-tailed errors: A uniform framework

DOI10.1360/N012015-00215MaRDI QIDQ5063704zbMATH OpenOpenAlexFDO

Authors Hui Wang

Publication date 21 March 2022

Published in SCIENTIA SINICA Mathematica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1360/n012015-00215

zbMATH Keywords

heavy-tailed TGARCH(1,1) modelpercentile-\(t\) bootstrap subsample methodstrict stationarity testssymmetry tests

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) 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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(4)

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• Diagnostic test for the two-step estimators of heavy-tailed GARCH models
• Inference in Arch and Garch Models with Heavy-Tailed Errors
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