Test for tail index constancy of GARCH innovations based on conditional volatility
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s10463-018-0669-6.pdf
Reference38 articles.
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3. Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31, 307–327.
4. Bollerslev, T. (1987). A conditionally heteroskedastic time series model for speculative prices and rates of return. Review of Economic Statistics, 31, 542–547.
5. Bougerol, P., Picard, N. (1992). Stationarity of GARCH processes and of some nonnegative time series. Journal of Econometrics, 52, 115–127.
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