ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS

DOI10.1017/S0266466609090598zbMath1181.62140OpenAlexW2082274762MaRDI QIDQ5187620

Jiazhu Pan, Oliver B. Linton, Hui Wang

Publication date: 26 February 2010

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466609090598

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09)

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