Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions
| Year of publication: |
2011
|
|---|---|
| Authors: | Francq, Christian ; Zakoïan, Jean-Michel |
| Institutions: | Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) |
| Subject: | alpha-stable distribution | composite likelihood | GEV distribution | GPD | pseudo-likelihood | quasi-marginal maximum likelihood | stock returns distributions |
| Extent: | application/pdf |
|---|---|
| Series: | |
| Type of publication: | Book / Working Paper |
| Notes: | Number 2011-30 5 pages long |
| Source: |
Persistent link: https://www.econbiz.de/10010548483