Robust Generalized Empirical Likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors
Author:
Publisher
Elsevier BV
Subject
Statistics, Probability and Uncertainty,Numerical Analysis,Statistics and Probability
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1. Volatility regressions with fat tails;Journal of Econometrics;2020-10
2. Unified Inference for an AR Process Regardless of Finite or Infinite Variance GARCH Errors*;Journal of Financial Econometrics;2019-05-05
3. Robust parameter estimation of regression model with AR(p) error terms;Communications in Statistics - Simulation and Computation;2017-07-18
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