Inference in Arch and Garch Models with Heavy-Tailed Errors

DOI10.1111/1468-0262.00396zbMath1136.62368MaRDI QIDQ5472959

Hall, Peter, Qiwei Yao

Publication date: 19 June 2006

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/5875/

Mathematics Subject Classification ID

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

62E20: Asymptotic distribution theory in statistics

62P05: Applications of statistics to actuarial sciences and financial mathematics

62G32: Statistics of extreme values; tail inference