GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference

DOI10.1016/J.JECONOM.2015.09.001zbMATH Open1419.62231OpenAlexW1802066084MaRDI QIDQ894634FDOQ894634

Authors: N. E. Zubov 

Publication date: 2 December 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2123/13795

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zbMATH Keywords

expected shortfallheavy tailsGARCHrobust inferencetail trimmingefficient moment estimationGELRussian Ruble

Mathematics Subject Classification ID

Nonparametric estimation (62G05) 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)

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Cited In (11)

• Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models
• Least‐squares estimation of GARCH(1,1) models with heavy‐tailed errors
• 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
• Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
• Robust estimation and inference for heavy tailed GARCH
• Volatility regressions with fat tails
• Correcting outliers in GARCH models: a weighted forward approach
• Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors
• Diagnostic Testing of Finite Moment Conditions for the Consistency and Root-N Asymptotic Normality of the GMM and M Estimators
• Data-driven and distribution-free estimation of tailed-related risks for GARCH models using composite asymmetric least squares regression

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