GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
Jonathan B. Hill, Artem Prokhorov
| Year of publication: |
January 2016
|
|---|---|
| Authors: | Hill, Jonathan B. ; Prokhorov, Artem |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 190.2016, 1, p. 18-45
|
| Subject: | GEL | GARCH | Tail trimming | Heavy tails | Robust inference | Efficient moment estimation | Expected shortfall | Russian Ruble | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Robustes Verfahren | Robust statistics | Induktive Statistik | Statistical inference | Russland | Russia | Momentenmethode | Method of moments |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2015.09.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011591613