GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
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Publication:894634
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- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 3238248 (Why is no real title available?)
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Cited in
(12)- Data-driven and distribution-free estimation of tailed-related risks for GARCH models using composite asymmetric least squares regression
- Least‐squares estimation of GARCH(1,1) models with heavy‐tailed errors
- Smoothed empirical likelihood for GARCH models with heavy-tailed errors
- Correcting outliers in GARCH models: a weighted forward approach
- Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
- Quasi-maximum likelihood estimation of conditional autoregressive Wishart models
- Robust estimation and inference for heavy tailed GARCH
- Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors
- Volatility regressions with fat tails
- Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors
- ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
- Diagnostic Testing of Finite Moment Conditions for the Consistency and Root-N Asymptotic Normality of the GMM and M Estimators
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