Indirect estimation of randomized generalized autoregressive conditional heteroskedastic models
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Publication:5220905
DOI10.1080/00949655.2014.934244zbMath1457.62277OpenAlexW1997162779MaRDI QIDQ5220905
J. M. Sampaio, Pedro Alberto Morettin
Publication date: 27 March 2020
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949655.2014.934244
Infinitely divisible distributions; stable distributions (60E07) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (4)
Indirect inference for locally stationary ARMA processes with stable innovations ⋮ Comparison of symmetry tests against some skew-symmetric alternatives in i.i.d. and non-i.i.d. setting ⋮ Estimating multiple-membership logit models with mixed effects: indirect inference versus data cloning ⋮ A two-step estimation procedure for locally stationary ARMA processes with tempered stable innovations
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