Unified Inference for an AR Process Regardless of Finite or Infinite Variance GARCH Errors*
Author:
Affiliation:
1. Georgia State University
2. Xiamen University
3. Jiangxi University of Finance and Economics
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance
Link
http://academic.oup.com/jfec/advance-article-pdf/doi/10.1093/jjfinec/nbz015/28560397/nbz015.pdf
Reference42 articles.
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3. Generalized Autoregressive Conditional Heteroskedasticity;Bollerslev;Journal of Econometrics,1986
4. Sieve-Based Inference for Infinite-Variance Linear Processes;Cavaliere;The Annals of Statistics,2016
5. Unit Root Inference for Non-Stationary Linear Processes Driven by Infinite Variance Innovations;Cavaliere;Econometric Theory,2018
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