Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors
Rongmao Zhang, Chenxue Li, and Liang Peng
| Year of publication: |
2019
|
|---|---|
| Authors: | Zhang, Rongmao ; Li, Chenxue ; Peng, Liang |
| Subject: | AR model | empirical likelihood | GARCH sequence | tail index | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Statistische Verteilung | Statistical distribution | Induktive Statistik | Statistical inference | Zeitreihenanalyse | Time series analysis | Aktienindex | Stock index |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2016.1224024 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012180711