Least-squares estimation of GARCH(1,1) models with heavy-tailed errors
Year of publication: |
2017
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Authors: | Preminger, Arie ; Storti, Giuseppe |
Published in: |
The econometrics journal. - Oxford : Oxford University Press, ISSN 1368-4221, ZDB-ID 1412265-0. - Vol. 20.2017, 2, p. 221-258
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Subject: | Asymptotic normality | Consistency | GARCH(1,1) | Heavy tails | Least-squares estimation | Two-step estimator | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution |
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