Characteristic function-based inference for GARCH models with heavy-tailed innovations

DOI10.1080/03610918.2015.1060332MaRDI QIDQ5358337zbMATH OpenOpenAlexFDO

Authors

Publication date 20 September 2017

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2015.1060332

zbMATH Keywords

characteristic functionGARCH modelheavy-tailed distributionminimum distance estimation

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• On the empirical characteristic function process of the residuals in GARCH models and applications
• Fourier inference for stochastic volatility models with heavy-tailed innovations
• Fourier-type estimation of the power GARCH model with stable-Paretian innovations
• Empirical performance of GARCH models with heavy-tailed innovations
• Specification tests for the error distribution in GARCH models

Cited in

(11)

• Semiparametric estimators for heavy tailed distributions
• Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
• On the empirical characteristic function process of the residuals in GARCH models and applications
• Fourier-type estimation of the power GARCH model with stable-Paretian innovations
• Diagnostic test for the two-step estimators of heavy-tailed GARCH models
• Empirical performance of GARCH models with heavy-tailed innovations
• Distributional properties and parameters estimation of GSB process: an approach based on characteristic functions
• Characterizations of multinormality and corresponding tests of fit, including for GARCH models
• Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations
• Fourier inference for stochastic volatility models with heavy-tailed innovations
• A multivariate heavy-tailed distribution for ARCH/GARCH residuals

This page was built for publication: Characteristic function-based inference for GARCH models with heavy-tailed innovations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5358337)