Tail index of an AR(1) model with ARCH(1) errors
Year of publication: |
2013
|
---|---|
Authors: | Chan, Ngai Hang ; Li, Deyuan ; Peng, Liang ; Zhang, Rongmao |
Published in: |
Econometric theory. - Cambridge : Cambridge Univ. Press, ISSN 0266-4666, ZDB-ID 901661-2. - Vol. 29.2013, 5, p. 920-940
|
Subject: | Schätztheorie | Estimation theory | Statistische Verteilung | Statistical distribution | Zeitreihenanalyse | Time series analysis | Statistischer Fehler | Statistical error |
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