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

DOI10.1080/03610918.2015.1060332zbMATH Open1373.62082OpenAlexW2173800367MaRDI QIDQ5358337FDOQ5358337

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

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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)

Cited In (11)

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

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