Subsampling inference for the autocorrelations of GARCH processes
Tucker McElroy, Agnieszka Jach
| Year of publication: |
2019
|
|---|---|
| Authors: | McElroy, Tucker ; Jach, Agnieszka |
| 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 |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbx037 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012054818