Least-squares estimation of GARCH(1,1) models with heavy-tailed errors
Arie Preminger and Giuseppe Storti
| Year of publication: |
2017
|
|---|---|
| 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 | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/ectj.12089 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011757387