Non-standard inference for augmented double autoregressive models with null volatility coefficients
Feiyu Jiang, Dong Li, Ke Zhu
| Year of publication: |
2020
|
|---|---|
| Authors: | Jiang, Feiyu ; Li, Dong ; Zhu, Ke |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 215.2020, 1, p. 165-183
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| Subject: | Augmented DAR model | DAR model | Heavy-tailedness | Non-standard asymptotics | Parameter on the boundary | Portmanteau test | Self-weighted QMLE | ARCH-Modell | ARCH model | Volatilität | Volatility | Autokorrelation | Autocorrelation | Schätztheorie | Estimation theory | Statistischer Test | Statistical test |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2019.08.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012439437