Stable Limit Theory for the Variance Targeting Estimator

DOI10.1108/S0731-905320140000033018zbMath1453.62648OpenAlexW2504972784MaRDI QIDQ5133523

Igor Vaynman, Brendan K. Beare

Publication date: 10 November 2020

Published in: Essays in Honor of Peter C. B. Phillips (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1108/s0731-905320140000033018

zbMATH Keywords

heavy tailsGARCHvariance targeting

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Analysis of variance and covariance (ANOVA) (62J10)

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