Estimation of the parameters of symmetric stable ARMA and ARMA–GARCH models
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Cites work
- A method for fitting stable autoregressive models using the autocovariation function
- Estimating GARCH-type models with symmetric stable innovations: indirect inference versus maximum likelihood
- Estimation of the parameters of multivariate stable distributions
- Generalized autoregressive conditional heteroscedasticity
- scientific article; zbMATH DE number 1301877 (Why is no real title available?)
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- Parameter estimation for ARMA models with infinite variance innovations
- Recursive estimation of mixed autoregressive-moving average order
- Stable GARCH models for financial time series
- The modified Yule-Walker method for \(\alpha\)-stable time series models
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