Evaluating the performance of degrees of freedom estimation in asymmetric GARCH models with t-student innovations
Thaís Cristina Oliveira da Fonseca, Vinícius dos Santos Cerqueira, Helio dos Santos Migon, Cristian Andres Cruz Torres
| Year of publication: |
2020
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|---|---|
| Authors: | Fonseca, Thaís C. O. da ; Cerqueira, Vinícius dos Santos ; Migon, Hélio dos Santos ; Cruz Torres, Cristian Andres |
| Published in: |
Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society. - Rio de Janeiro : [Verlag nicht ermittelbar], ISSN 2526-3722, ZDB-ID 2392364-7. - Vol. 40.2020, 2, p. 347-373
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| Subject: | heavy tailed distributions | Bayesian inference | ill behaved likelihoods | ARCH-Modell | ARCH model | Bayes-Statistik | Statistische Verteilung | Statistical distribution | Schätztheorie | Estimation theory | Schätzung | Estimation | Innovation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.12660/bre.v40n22020.80292 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012617022