Subsampling inference for the autocorrelations of GARCH processes
Year of publication: |
2019
|
---|---|
Authors: | McElroy, Tucker ; Jach, Agnieszka |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 17.2019, 3, p. 495-515
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Subject: | conditional heteroskedasticity | heavy tails | parameter-dependent convergence rates | self-normalization | studentization | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Autokorrelation | Autocorrelation | Heteroskedastizität | Heteroscedasticity | Schätzung | Estimation | Induktive Statistik | Statistical inference | Zeitreihenanalyse | Time series analysis |
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