Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors
Author:
Affiliation:
1. Zhejiang University, Hangzhou, China
2. Department of Mathematics and Statistics, Georgia State University, Atlanta, Georgia, USA
3. Department of Risk Management and Insurance, Georgia State University, Atlanta, Georgia, USA
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/07474938.2016.1224024
Reference42 articles.
1. Regular variation of GARCH processes
2. The efficiency of the estimators of the parameters in GARCH processes
3. ESTIMATION OF THE MAXIMAL MOMENT EXPONENT OF A GARCH(1,1) SEQUENCE
4. Extremal behavior of the autoregressive process with ARCH(1) errors
5. Asymptotic Behaviour of the Sample Autocovariance and Autocorrelation Function of the AR(1) Process with ARCH(1) Errors
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