Unified inference for an AR process regardless of finite or infinite variance GARCH errors
Haitao Huang, Xuan Leng, Xiaohui Liu and Liang Peng
| Year of publication: |
2020
|
|---|---|
| Authors: | Huang, Haitao ; Leng, Xuan ; Liu, Xiaohui ; Peng, Liang |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 18.2020, 2, p. 425-470
|
| Subject: | autoregressive process | empirical likelihood | GARCH | unified inference | unit root test | Einheitswurzeltest | Unit root test | ARCH-Modell | ARCH model | Induktive Statistik | Statistical inference | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Maximum-Likelihood-Schätzung | Maximum likelihood estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbz015 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012232977