Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model
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Publication:6134640
DOI10.1111/jtsa.12645OpenAlexW4220922755MaRDI QIDQ6134640
Publication date: 22 August 2023
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12645
heavy-tailednessnon-standard asymptoticsover-parametrizationself-weighted QMLEgeneralized-risk-in-mean model
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Inference from stochastic processes (62Mxx)
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