Showing 1 - 7 of 7
Persistent link: https://www.econbiz.de/10010994262
It is known that the tail index of a GARCH model is determined by a moment equation, which involves the underlying unknown parameters of the model. A tail index estimator can therefore be constructed by solving the sample moment equation with the unknown parameters being replaced by its...
Persistent link: https://www.econbiz.de/10010994329
Persistent link: https://www.econbiz.de/10009324917
Persistent link: https://www.econbiz.de/10008775817
Persistent link: https://www.econbiz.de/10008469403
Persistent link: https://www.econbiz.de/10005613262
Persistent link: https://www.econbiz.de/10005166823