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

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

Jonathan B. Hill2015

Article2015

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

Jonathan B. Hill · Artem B. Prokhorov

22 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Advanced Statistical Methods and Models

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References

1986Generalized autoregressive conditional heteroskedasticity 1994Modelling of extremal events in insurance and finance 1987Extreme Values, Regular Variation and Point Processes 1996Finite-Sample Properties of Some Alternative GMM Estimators 1990Stationarity and Persistence in the GARCH(1,1) Model 2003Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators 2004Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes 1992Stationarity of Garch processes and of some nonnegative time series

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2018Inference in (M)GARCH Models in the Presence of Additive Outliers: Specification, Estimation, and Prediction

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Year2015

Typearticle

Published2015-09-29

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations22

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2015.09.001

openalex_workW1802066084

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