GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
Year of publication: |
January 2016
|
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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
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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 |
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