Inference in Arch and Garch Models with Heavy-Tailed Errors

DOI10.1111/1468-0262.00396zbMath1136.62368OpenAlexW1999538266MaRDI QIDQ5472959

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

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32)

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